Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Gravita India Limited backtest
10 trend-following strategies were compared on the full daily history of Gravita India Limited. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 27.7%, MDD -40.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR 26.2%, drawdown -91.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 44.9%, MDD -53.1%, Sharpe 1.15, 57% exposure.
CAGR reference leader: Supertrend — CAGR 45.0%, MDD -56.5%, exposure 59%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 18.7%p higher than buy and hold, while drawdown improves by 38.5%p (CAGR 27.7%, MDD -40.1%, exposure 35%).
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=14, slow=275 |
44.9% | -53.1% | 1.15 | 0.85 | 339.2x | 17 | 57% |
| Supertrend period=27, mult=4.2 |
45.0% | -56.5% | 1.11 | 0.80 | 340.5x | 40 | 59% |
| EMA 크로스오버 fast=3, slow=117 |
42.0% | -57.3% | 1.08 | 0.73 | 246.2x | 60 | 58% |
| ROC 모멘텀 n=75, threshold=0.14 |
38.3% | -42.6% | 1.07 | 0.90 | 162.7x | 126 | 45% |
| 볼린저 밴드 돌파 n=59, k=1.2 |
38.1% | -56.9% | 1.03 | 0.67 | 159.6x | 70 | 51% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=8, mult=2.1 |
36.0% | -44.0% | 1.02 | 0.82 | 125.7x | 58 | 46% |
| Donchian 채널 돌파 entryN=32, exitN=38 |
40.5% | -59.6% | 1.02 | 0.68 | 209.0x | 37 | 62% |
| ADX / DI 방향성 period=33, threshold=21 |
27.7% | -40.1% | 0.91 | 0.69 | 46.3x | 44 | 35% |
| MACD fast=15, slow=35, signal=18 |
26.2% | -56.8% | 0.78 | 0.46 | 38.8x | 170 | 51% |
| Parabolic SAR step=0.005, maxStep=0.24 |
19.6% | -74.7% | 0.64 | 0.26 | 16.6x | 130 | 56% |
| Buy and hold | 26.2% | -91.5% | 0.70 | 0.29 | 38.7x | 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 14-day average price crosses above the 275-day average
- Sell — Sell (to cash) when the 14-day average falls below the 275-day average