Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Ingersoll-Rand (India) Limited backtest
10 trend-following strategies were compared on the full daily history of Ingersoll-Rand (India) Limited. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 13.8%, drawdown -56.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 11.9%, MDD -53.7%, Sharpe 0.51, 87% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=37, threshold=-0.11 |
11.9% | -53.7% | 0.51 | 0.22 | 15.1x | 177 | 87% |
| Donchian 채널 돌파 entryN=7, exitN=70 |
11.6% | -53.9% | 0.50 | 0.22 | 14.1x | 61 | 88% |
| ADX / DI 방향성 period=40, threshold=9 |
9.3% | -74.7% | 0.45 | 0.12 | 8.5x | 169 | 73% |
| SMA 크로스오버 fast=31, slow=158 |
6.4% | -75.1% | 0.36 | 0.09 | 4.5x | 45 | 62% |
| Parabolic SAR step=0.005, maxStep=0.4 |
6.2% | -46.8% | 0.36 | 0.13 | 4.2x | 175 | 55% |
| Supertrend period=23, mult=3.4 |
5.8% | -70.8% | 0.34 | 0.08 | 3.9x | 101 | 53% |
| EMA 크로스오버 fast=9, slow=158 |
5.8% | -69.2% | 0.34 | 0.08 | 3.9x | 83 | 62% |
| MACD fast=18, slow=22, signal=16 |
4.3% | -52.3% | 0.29 | 0.08 | 2.7x | 306 | 50% |
| 볼린저 밴드 돌파 n=22, k=1 |
2.9% | -60.6% | 0.24 | 0.05 | 2.0x | 312 | 44% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=17, mult=0.6 |
0.7% | -67.4% | 0.16 | 0.01 | 1.2x | 332 | 45% |
| Buy and hold | 13.8% | -56.5% | 0.54 | 0.25 | 22.7x | 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 37-day return is greater than -11%
- Sell — Sell when the 37-day return drops to -11% or below