Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Indian Energy Exchange Ltd. backtest
10 trend-following strategies were compared on the full daily history of Indian Energy Exchange Ltd.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 13.0%, MDD -48.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 10.6%, drawdown -61.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.0%, MDD -48.6%, Sharpe 0.57, 48% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 12.5%p (CAGR 13.0%, MDD -48.6%, exposure 48%).
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=59, slow=143 |
13.0% | -48.6% | 0.57 | 0.27 | 2.9x | 12 | 48% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=19, mult=3.6 |
8.2% | -35.6% | 0.53 | 0.23 | 2.0x | 10 | 14% |
| 볼린저 밴드 돌파 n=30, k=3.5 |
5.2% | -18.4% | 0.53 | 0.29 | 1.6x | 4 | 4% |
| ADX / DI 방향성 period=42, threshold=14 |
9.8% | -46.4% | 0.53 | 0.21 | 2.3x | 28 | 29% |
| ROC 모멘텀 n=122, threshold=0.06 |
10.0% | -52.3% | 0.49 | 0.19 | 2.3x | 52 | 40% |
| Donchian 채널 돌파 entryN=79, exitN=25 |
7.7% | -35.4% | 0.45 | 0.22 | 1.9x | 18 | 27% |
| Supertrend period=8, mult=3.6 |
8.4% | -57.7% | 0.44 | 0.15 | 2.0x | 37 | 57% |
| EMA 크로스오버 fast=54, slow=184 |
7.1% | -51.9% | 0.39 | 0.14 | 1.8x | 14 | 48% |
| Parabolic SAR step=0.025, maxStep=0.28 |
1.0% | -61.9% | 0.16 | 0.02 | 1.1x | 203 | 49% |
| MACD fast=19, slow=38, signal=17 |
-1.8% | -65.6% | 0.05 | -0.03 | 0.9x | 103 | 52% |
| Buy and hold | 10.6% | -61.1% | 0.46 | 0.17 | 2.4x | 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 59-day average price crosses above the 143-day average
- Sell — Sell (to cash) when the 59-day average falls below the 143-day average