Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Fineotex Chemical Limited backtest
10 trend-following strategies were compared on the full daily history of Fineotex Chemical Limited. 0 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 29.0%, MDD -53.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 29.7%, drawdown -77.2%).
Sharpe leader (same as main): MACD — CAGR 29.0%, MDD -53.0%, Sharpe 0.72, 50% exposure.
Return/drawdown alternative: MACD — CAGR is 0.7%p lower than buy and hold, while drawdown improves by 24.2%p (CAGR 29.0%, MDD -53.0%, exposure 50%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=9, slow=58, signal=19 |
29.0% | -53.0% | 0.72 | 0.55 | 19.3x | 133 | 50% |
| ROC 모멘텀 n=156, threshold=-0.05 |
27.0% | -49.2% | 0.68 | 0.55 | 16.1x | 85 | 61% |
| Donchian 채널 돌파 entryN=96, exitN=58 |
24.4% | -56.6% | 0.65 | 0.43 | 12.7x | 15 | 48% |
| EMA 크로스오버 fast=29, slow=191 |
19.3% | -69.3% | 0.65 | 0.28 | 7.8x | 15 | 53% |
| SMA 크로스오버 fast=25, slow=204 |
16.6% | -76.8% | 0.59 | 0.22 | 6.0x | 17 | 53% |
| 볼린저 밴드 돌파 n=35, k=1 |
15.7% | -72.7% | 0.58 | 0.22 | 5.5x | 95 | 40% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=23, mult=1.5 |
12.5% | -57.6% | 0.51 | 0.22 | 3.9x | 63 | 37% |
| ADX / DI 방향성 period=14, threshold=9 |
13.0% | -78.6% | 0.50 | 0.17 | 4.1x | 193 | 55% |
| Supertrend period=19, mult=3.8 |
12.5% | -77.2% | 0.49 | 0.16 | 3.9x | 45 | 54% |
| Parabolic SAR step=0.035, maxStep=0.28 |
3.1% | -70.2% | 0.27 | 0.04 | 1.4x | 305 | 48% |
| Buy and hold | 29.7% | -77.2% | 0.70 | 0.38 | 20.5x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (9/58) crosses above its 19-day signal line
- Sell — Sell when the MACD line crosses back below the signal line