Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Gujarat Energy Ltd backtest
10 trend-following strategies were compared on the full daily history of Gujarat Energy Ltd. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 9.2%, MDD -15.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR 7.1%, drawdown -65.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 12.2%, MDD -18.8%, Sharpe 0.86, 20% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 16.0%, MDD -32.6%, exposure 47%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.1%p higher than buy and hold, while drawdown improves by 47.1%p (CAGR 9.2%, MDD -15.6%, exposure 20%).
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=36, k=3.1 |
12.2% | -18.8% | 0.86 | 0.65 | 3.5x | 22 | 20% |
| Donchian 채널 돌파 entryN=111, exitN=78 |
16.0% | -32.6% | 0.78 | 0.49 | 5.0x | 6 | 47% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=8, mult=2.2 |
11.1% | -28.8% | 0.77 | 0.39 | 3.2x | 36 | 23% |
| ROC 모멘텀 n=148, threshold=0.05 |
15.5% | -32.6% | 0.76 | 0.48 | 4.8x | 52 | 48% |
| EMA 크로스오버 fast=21, slow=209 |
14.1% | -36.7% | 0.69 | 0.38 | 4.2x | 10 | 50% |
| ADX / DI 방향성 period=24, threshold=25 |
9.2% | -15.6% | 0.67 | 0.59 | 2.6x | 22 | 20% |
| SMA 크로스오버 fast=47, slow=168 |
13.0% | -32.6% | 0.65 | 0.40 | 3.8x | 14 | 52% |
| Supertrend period=23, mult=4.8 |
10.3% | -55.4% | 0.54 | 0.19 | 2.9x | 24 | 54% |
| MACD fast=11, slow=26, signal=16 |
8.3% | -32.8% | 0.49 | 0.25 | 2.4x | 153 | 50% |
| Parabolic SAR step=0.015, maxStep=0.32 |
2.0% | -69.1% | 0.20 | 0.03 | 1.2x | 173 | 54% |
| Buy and hold | 7.1% | -65.9% | 0.38 | 0.11 | 2.1x | 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 36-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 36-day middle average