Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Godrej Agrovet Limited backtest
10 trend-following strategies were compared on the full daily history of Godrej Agrovet Limited. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.0%, MDD -17.6%).
Results by strategy
7 of 10 beat buy and hold (CAGR -0.8%, drawdown -61.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.5%, MDD -32.2%, Sharpe 0.36, 46% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.3%p higher than buy and hold, while drawdown improves by 29.2%p (CAGR 1.0%, MDD -17.6%, exposure 10%).
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=30, slow=58 |
5.5% | -32.2% | 0.36 | 0.17 | 1.6x | 38 | 46% |
| Supertrend period=22, mult=4.6 |
4.5% | -29.7% | 0.32 | 0.15 | 1.5x | 20 | 50% |
| Donchian 채널 돌파 entryN=16, exitN=60 |
3.2% | -36.6% | 0.25 | 0.09 | 1.3x | 24 | 71% |
| EMA 크로스오버 fast=43, slow=188 |
2.0% | -34.3% | 0.20 | 0.06 | 1.2x | 8 | 43% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=10, mult=3.6 |
1.0% | -17.6% | 0.15 | 0.06 | 1.1x | 8 | 10% |
| 볼린저 밴드 돌파 n=27, k=1.9 |
1.1% | -31.7% | 0.15 | 0.03 | 1.1x | 54 | 28% |
| ADX / DI 방향성 period=34, threshold=22 |
-0.0% | -18.8% | 0.06 | -0.00 | 1.0x | 14 | 17% |
| Parabolic SAR step=0.02, maxStep=0.18 |
-1.5% | -50.9% | 0.03 | -0.03 | 0.9x | 170 | 47% |
| ROC 모멘텀 n=82, threshold=0.05 |
-1.5% | -43.3% | -0.00 | -0.04 | 0.9x | 100 | 33% |
| MACD fast=19, slow=52, signal=24 |
-4.8% | -56.7% | -0.14 | -0.09 | 0.6x | 77 | 49% |
| Buy and hold | -0.8% | -61.4% | 0.12 | -0.01 | 0.9x | 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 30-day average price crosses above the 58-day average
- Sell — Sell (to cash) when the 30-day average falls below the 58-day average