Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Garden Reach Shipbuilders & Engineers Ltd. backtest
10 trend-following strategies were compared on the full daily history of Garden Reach Shipbuilders & Engineers Ltd.. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 54.7%, drawdown -55.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 34.2%, MDD -35.4%, Sharpe 0.99, 39% 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=50, k=1.9 |
34.2% | -35.4% | 0.99 | 0.97 | 10.1x | 32 | 39% |
| MACD fast=15, slow=50, signal=15 |
32.4% | -47.5% | 0.92 | 0.68 | 9.1x | 89 | 48% |
| SMA 크로스오버 fast=8, slow=80 |
34.2% | -50.1% | 0.91 | 0.68 | 10.0x | 42 | 59% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=20, mult=2.8 |
29.1% | -38.5% | 0.89 | 0.76 | 7.4x | 24 | 36% |
| Donchian 채널 돌파 entryN=10, exitN=28 |
33.0% | -51.0% | 0.87 | 0.65 | 9.4x | 41 | 72% |
| Parabolic SAR step=0.02, maxStep=0.3 |
28.8% | -40.2% | 0.84 | 0.72 | 7.3x | 147 | 51% |
| EMA 크로스오버 fast=49, slow=102 |
31.4% | -55.6% | 0.83 | 0.56 | 8.5x | 15 | 75% |
| Supertrend period=11, mult=2.8 |
28.1% | -54.1% | 0.82 | 0.52 | 7.0x | 48 | 58% |
| ROC 모멘텀 n=49, threshold=0.03 |
26.4% | -47.0% | 0.79 | 0.56 | 6.3x | 108 | 52% |
| ADX / DI 방향성 period=16, threshold=16 |
20.4% | -58.7% | 0.66 | 0.35 | 4.3x | 102 | 55% |
| Buy and hold | 54.7% | -55.2% | 1.10 | 0.99 | 30.8x | 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 50-day average (1.9× volatility)
- Sell — Sell when the close falls back to the 50-day middle average