Trend-Following Backtester · Guide · backtest 한국어
equity · IN
HCL Technologies Limited backtest
10 trend-following strategies were compared on the full daily history of HCL Technologies Limited. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 16.6%, MDD -45.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 18.1%, drawdown -74.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.6%, MDD -45.6%, Sharpe 0.71, 71% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.5%p lower than buy and hold, while drawdown improves by 29.1%p (CAGR 16.6%, MDD -45.6%, exposure 71%).
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=33, slow=295 |
16.6% | -45.6% | 0.71 | 0.36 | 40.1x | 22 | 71% |
| Donchian 채널 돌파 entryN=40, exitN=64 |
16.0% | -42.2% | 0.68 | 0.38 | 35.3x | 37 | 73% |
| EMA 크로스오버 fast=58, slow=187 |
15.0% | -43.3% | 0.66 | 0.35 | 29.0x | 22 | 72% |
| Supertrend period=12, mult=4.4 |
12.6% | -60.3% | 0.60 | 0.21 | 17.5x | 65 | 60% |
| ROC 모멘텀 n=134, threshold=-0.02 |
12.4% | -57.6% | 0.57 | 0.22 | 16.7x | 134 | 71% |
| MACD fast=52, slow=72, signal=37 |
8.3% | -68.3% | 0.44 | 0.12 | 6.8x | 121 | 52% |
| Parabolic SAR step=0.005, maxStep=0.04 |
7.9% | -58.4% | 0.43 | 0.14 | 6.3x | 181 | 55% |
| 볼린저 밴드 돌파 n=57, k=2.5 |
5.4% | -54.0% | 0.38 | 0.10 | 3.6x | 65 | 28% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=26, mult=3.4 |
5.0% | -49.8% | 0.37 | 0.10 | 3.2x | 57 | 28% |
| ADX / DI 방향성 period=33, threshold=15 |
2.9% | -51.7% | 0.25 | 0.06 | 2.0x | 138 | 28% |
| Buy and hold | 18.1% | -74.6% | 0.64 | 0.24 | 54.9x | 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 33-day average price crosses above the 295-day average
- Sell — Sell (to cash) when the 33-day average falls below the 295-day average