Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Fertilizers & Chemicals Travancore Ltd. backtest
10 trend-following strategies were compared on the full daily history of Fertilizers & Chemicals Travancore Ltd.. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 10.0%, MDD -50.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 12.3%, drawdown -75.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 12.9%, MDD -75.0%, Sharpe 0.49, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 0.0%p (CAGR 10.0%, MDD -50.6%, exposure 12%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.15 |
12.9% | -75.0% | 0.49 | 0.17 | 18.8x | 9 | 100% |
| Donchian 채널 돌파 entryN=132, exitN=16 |
10.0% | -50.6% | 0.48 | 0.20 | 10.1x | 30 | 12% |
| SMA 크로스오버 fast=37, slow=288 |
7.4% | -80.0% | 0.38 | 0.09 | 5.7x | 38 | 51% |
| EMA 크로스오버 fast=57, slow=165 |
6.2% | -80.8% | 0.35 | 0.08 | 4.3x | 36 | 51% |
| MACD fast=13, slow=31, signal=15 |
5.4% | -78.9% | 0.33 | 0.07 | 3.5x | 360 | 49% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=12, mult=3.7 |
3.9% | -61.8% | 0.27 | 0.06 | 2.5x | 38 | 14% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-0.8% | -96.1% | 0.19 | -0.01 | 0.8x | 180 | 51% |
| ADX / DI 방향성 period=31, threshold=21 |
0.4% | -81.9% | 0.18 | 0.00 | 1.1x | 70 | 31% |
| 볼린저 밴드 돌파 n=17, k=2.8 |
1.0% | -80.9% | 0.18 | 0.01 | 1.3x | 150 | 18% |
| Supertrend period=26, mult=5 |
-1.2% | -94.6% | 0.18 | -0.01 | 0.8x | 64 | 49% |
| Buy and hold | 12.3% | -75.0% | 0.49 | 0.16 | 16.6x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 1-day return is greater than -15%
- Sell — Sell when the 1-day return drops to -15% or below