Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Indraprastha Gas Limited backtest
10 trend-following strategies were compared on the full daily history of Indraprastha Gas Limited. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.7%, MDD -40.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 11.9%, drawdown -62.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.9%, MDD -43.3%, Sharpe 0.75, 61% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 5.0%p higher than buy and hold, while drawdown improves by 19.3%p (CAGR 12.7%, MDD -40.4%, exposure 51%).
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=88 |
16.9% | -43.3% | 0.75 | 0.39 | 34.3x | 64 | 61% |
| Donchian 채널 돌파 entryN=88, exitN=46 |
12.7% | -40.4% | 0.64 | 0.31 | 14.8x | 28 | 51% |
| EMA 크로스오버 fast=55, slow=112 |
13.2% | -41.6% | 0.61 | 0.32 | 16.6x | 28 | 62% |
| ADX / DI 방향성 period=48, threshold=18 |
8.7% | -33.9% | 0.59 | 0.26 | 6.6x | 32 | 24% |
| Supertrend period=16, mult=5 |
11.0% | -58.0% | 0.54 | 0.19 | 10.5x | 38 | 66% |
| ROC 모멘텀 n=102, threshold=-0.11 |
11.4% | -55.0% | 0.52 | 0.21 | 11.5x | 145 | 79% |
| MACD fast=41, slow=106, signal=25 |
5.9% | -57.5% | 0.36 | 0.10 | 3.7x | 134 | 52% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=25, mult=2.5 |
3.8% | -55.7% | 0.29 | 0.07 | 2.3x | 76 | 39% |
| 볼린저 밴드 돌파 n=58, k=2.6 |
3.0% | -43.9% | 0.25 | 0.07 | 1.9x | 68 | 28% |
| Parabolic SAR step=0.01, maxStep=0.34 |
-5.9% | -78.6% | -0.13 | -0.08 | 0.3x | 286 | 55% |
| Buy and hold | 11.9% | -62.6% | 0.50 | 0.19 | 12.7x | 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 88-day average
- Sell — Sell (to cash) when the 55-day average falls below the 88-day average