Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Gillette India Limited backtest
10 trend-following strategies were compared on the full daily history of Gillette India Limited. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 13.6%, drawdown -57.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.5%, MDD -50.3%, Sharpe 0.62, 53% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=22, slow=47 |
11.5% | -50.3% | 0.62 | 0.23 | 13.7x | 96 | 53% |
| Donchian 채널 돌파 entryN=70, exitN=52 |
10.9% | -48.7% | 0.61 | 0.22 | 12.1x | 36 | 52% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=19, mult=2.5 |
9.6% | -37.3% | 0.60 | 0.26 | 9.2x | 60 | 35% |
| SMA 크로스오버 fast=23, slow=78 |
10.5% | -59.9% | 0.58 | 0.18 | 11.1x | 74 | 52% |
| Supertrend period=9, mult=4.2 |
8.8% | -52.4% | 0.50 | 0.17 | 7.7x | 55 | 61% |
| 볼린저 밴드 돌파 n=45, k=1.1 |
8.1% | -41.1% | 0.50 | 0.20 | 6.6x | 160 | 42% |
| ROC 모멘텀 n=71, threshold=-0.03 |
7.7% | -61.1% | 0.44 | 0.13 | 6.0x | 269 | 65% |
| ADX / DI 방향성 period=37, threshold=27 |
4.5% | -31.1% | 0.44 | 0.14 | 2.9x | 34 | 17% |
| Parabolic SAR step=0.005, maxStep=0.4 |
3.1% | -59.7% | 0.25 | 0.05 | 2.1x | 189 | 53% |
| MACD fast=17, slow=46, signal=9 |
1.1% | -66.2% | 0.15 | 0.02 | 1.3x | 355 | 50% |
| Buy and hold | 13.6% | -57.8% | 0.61 | 0.24 | 21.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 22-day EMA crosses above the 47-day EMA
- Sell — Sell when the 22-day EMA falls below the 47-day EMA