Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Gujarat Fluorochemicals Ltd. backtest
10 trend-following strategies were compared on the full daily history of Gujarat Fluorochemicals Ltd.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 32.5%, MDD -22.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 31.4%, drawdown -66.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 38.4%, MDD -33.2%, Sharpe 1.19, 58% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 7.0%p higher than buy and hold, while drawdown improves by 33.7%p (CAGR 32.5%, MDD -22.5%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=39, slow=53 |
38.4% | -33.2% | 1.19 | 1.16 | 9.4x | 37 | 58% |
| ROC 모멘텀 n=74, threshold=0.04 |
36.1% | -31.8% | 1.19 | 1.13 | 8.3x | 63 | 51% |
| 볼린저 밴드 돌파 n=59, k=2 |
31.2% | -27.3% | 1.18 | 1.14 | 6.5x | 17 | 37% |
| MACD fast=11, slow=25, signal=6 |
31.3% | -35.1% | 1.17 | 0.89 | 6.5x | 132 | 48% |
| Parabolic SAR step=0.015, maxStep=0.18 |
32.5% | -22.5% | 1.15 | 1.45 | 6.9x | 122 | 53% |
| ADX / DI 방향성 period=42, threshold=26 |
19.2% | -19.1% | 1.13 | 1.01 | 3.4x | 4 | 11% |
| Supertrend period=31, mult=5 |
33.5% | -46.9% | 1.08 | 0.71 | 7.3x | 17 | 59% |
| Donchian 채널 돌파 entryN=50, exitN=41 |
31.2% | -31.6% | 1.07 | 0.99 | 6.5x | 15 | 50% |
| EMA 크로스오버 fast=43, slow=76 |
29.8% | -55.5% | 1.00 | 0.54 | 6.0x | 17 | 57% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=23, mult=3.4 |
24.9% | -24.8% | 1.00 | 1.00 | 4.6x | 15 | 34% |
| Buy and hold | 31.4% | -66.9% | 0.88 | 0.47 | 6.5x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 39-day average price crosses above the 53-day average
- Sell — Sell (to cash) when the 39-day average falls below the 53-day average