Trend-Following Backtester · Guide · backtest 한국어
equity · IN
HBL Engineering Limited backtest
10 trend-following strategies were compared on the full daily history of HBL Engineering Limited. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 30.0%, MDD -48.1%).
Results by strategy
6 of 10 beat buy and hold (CAGR 17.6%, drawdown -86.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 30.0%, MDD -48.1%, Sharpe 0.84, 53% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 12.4%p higher than buy and hold, while drawdown improves by 38.6%p (CAGR 30.0%, MDD -48.1%, exposure 53%).
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=55, slow=127 |
30.0% | -48.1% | 0.84 | 0.62 | 174.8x | 36 | 53% |
| EMA 크로스오버 fast=53, slow=144 |
25.3% | -67.4% | 0.75 | 0.37 | 83.8x | 20 | 53% |
| ROC 모멘텀 n=112, threshold=-0.02 |
25.4% | -54.1% | 0.75 | 0.47 | 85.4x | 123 | 55% |
| Donchian 채널 돌파 entryN=105, exitN=73 |
23.5% | -64.1% | 0.73 | 0.37 | 63.1x | 18 | 46% |
| ADX / DI 방향성 period=31, threshold=26 |
14.7% | -39.0% | 0.72 | 0.38 | 14.8x | 20 | 14% |
| 볼린저 밴드 돌파 n=56, k=1.5 |
19.7% | -64.4% | 0.68 | 0.31 | 34.3x | 82 | 38% |
| Supertrend period=19, mult=4.8 |
17.7% | -72.0% | 0.61 | 0.25 | 24.7x | 44 | 52% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=14, mult=1.3 |
16.4% | -66.5% | 0.60 | 0.25 | 19.9x | 116 | 41% |
| MACD fast=9, slow=22, signal=9 |
12.0% | -66.2% | 0.48 | 0.18 | 9.3x | 391 | 48% |
| Parabolic SAR step=0.02, maxStep=0.18 |
11.5% | -75.9% | 0.47 | 0.15 | 8.5x | 392 | 50% |
| Buy and hold | 17.6% | -86.7% | 0.57 | 0.20 | 24.2x | 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 55-day average price crosses above the 127-day average
- Sell — Sell (to cash) when the 55-day average falls below the 127-day average