Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Finolex Cables Limited backtest
10 trend-following strategies were compared on the full daily history of Finolex Cables Limited. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 23.9%, MDD -38.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR 16.5%, drawdown -86.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 23.9%, MDD -38.4%, Sharpe 0.95, 44% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 26.2%, MDD -63.3%, exposure 80%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.5%p higher than buy and hold, while drawdown improves by 48.0%p (CAGR 23.9%, MDD -38.4%, exposure 44%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=35, k=1.2 |
23.9% | -38.4% | 0.95 | 0.62 | 178.6x | 161 | 44% |
| EMA 크로스오버 fast=8, slow=38 |
22.9% | -43.8% | 0.85 | 0.52 | 145.2x | 159 | 54% |
| Donchian 채널 돌파 entryN=6, exitN=45 |
26.2% | -63.3% | 0.85 | 0.41 | 275.5x | 83 | 80% |
| ROC 모멘텀 n=116, threshold=-0.04 |
23.4% | -52.0% | 0.83 | 0.45 | 161.7x | 119 | 63% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=21, mult=1.8 |
19.1% | -52.4% | 0.80 | 0.36 | 67.7x | 105 | 40% |
| SMA 크로스오버 fast=18, slow=200 |
21.1% | -54.9% | 0.79 | 0.38 | 101.8x | 39 | 57% |
| ADX / DI 방향성 period=39, threshold=7 |
20.2% | -60.7% | 0.76 | 0.33 | 84.9x | 229 | 61% |
| Supertrend period=28, mult=4.4 |
19.2% | -52.5% | 0.75 | 0.37 | 69.9x | 67 | 54% |
| Parabolic SAR step=0.005, maxStep=0.2 |
17.0% | -52.3% | 0.70 | 0.33 | 44.9x | 191 | 54% |
| MACD fast=17, slow=52, signal=14 |
14.2% | -47.0% | 0.61 | 0.30 | 24.7x | 271 | 51% |
| Buy and hold | 16.5% | -86.3% | 0.59 | 0.19 | 39.7x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 35-day average (1.2× volatility)
- Sell — Sell when the close falls back to the 35-day middle average