Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Hindustan Aeronautics Limited backtest
10 trend-following strategies were compared on the full daily history of Hindustan Aeronautics Limited. 4 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 28.5%, MDD -35.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 28.6%, drawdown -58.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 34.5%, MDD -48.9%, Sharpe 1.16, 69% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.8%p higher than buy and hold, while drawdown improves by 9.6%p (CAGR 28.5%, MDD -35.6%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=137, threshold=-0.04 |
34.5% | -48.9% | 1.16 | 0.70 | 12.1x | 19 | 69% |
| EMA 크로스오버 fast=13, slow=106 |
31.3% | -44.7% | 1.09 | 0.70 | 9.9x | 19 | 64% |
| MACD fast=20, slow=50, signal=20 |
28.7% | -38.2% | 1.07 | 0.75 | 8.3x | 67 | 49% |
| SMA 크로스오버 fast=7, slow=194 |
30.9% | -45.9% | 1.07 | 0.67 | 9.6x | 13 | 68% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=8, mult=0.5 |
28.5% | -35.6% | 1.06 | 0.80 | 8.2x | 93 | 55% |
| Parabolic SAR step=0.04, maxStep=0.08 |
28.3% | -37.3% | 1.06 | 0.76 | 8.2x | 152 | 53% |
| Donchian 채널 돌파 entryN=46, exitN=18 |
25.8% | -32.2% | 1.03 | 0.80 | 6.9x | 23 | 43% |
| 볼린저 밴드 돌파 n=52, k=1.8 |
26.2% | -33.6% | 1.03 | 0.78 | 7.1x | 31 | 43% |
| Supertrend period=10, mult=1.4 |
26.2% | -33.0% | 1.02 | 0.79 | 7.1x | 132 | 49% |
| ADX / DI 방향성 period=8, threshold=13 |
26.2% | -29.4% | 0.98 | 0.89 | 7.1x | 178 | 56% |
| Buy and hold | 28.6% | -58.5% | 0.89 | 0.49 | 8.3x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 137-day return is greater than -4%
- Sell — Sell when the 137-day return drops to -4% or below