Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Inox Wind Ltd. backtest
10 trend-following strategies were compared on the full daily history of Inox Wind Ltd.. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.0%, MDD -19.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.9%, drawdown -96.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 25.1%, MDD -43.6%, Sharpe 0.84, 35% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 28.9%p higher than buy and hold, while drawdown improves by 52.8%p (CAGR 4.0%, MDD -19.1%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=31, slow=180 |
25.1% | -43.6% | 0.84 | 0.57 | 12.8x | 8 | 35% |
| Donchian 채널 돌파 entryN=115, exitN=55 |
23.1% | -40.9% | 0.82 | 0.56 | 10.6x | 6 | 29% |
| SMA 크로스오버 fast=46, slow=216 |
22.6% | -46.9% | 0.78 | 0.48 | 10.2x | 6 | 33% |
| ROC 모멘텀 n=127, threshold=0.14 |
19.3% | -41.3% | 0.72 | 0.47 | 7.5x | 28 | 31% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=16, mult=2.1 |
18.3% | -41.1% | 0.69 | 0.45 | 6.8x | 24 | 29% |
| 볼린저 밴드 돌파 n=59, k=2.1 |
12.2% | -49.3% | 0.53 | 0.25 | 3.7x | 30 | 26% |
| ADX / DI 방향성 period=31, threshold=35 |
4.0% | -19.1% | 0.47 | 0.21 | 1.6x | 4 | 3% |
| MACD fast=13, slow=28, signal=14 |
11.1% | -56.1% | 0.47 | 0.20 | 3.3x | 155 | 50% |
| Supertrend period=14, mult=3.6 |
7.6% | -80.4% | 0.38 | 0.09 | 2.3x | 46 | 48% |
| Parabolic SAR step=0.05, maxStep=0.14 |
7.4% | -71.5% | 0.38 | 0.10 | 2.2x | 326 | 45% |
| Buy and hold | -3.9% | -96.4% | 0.18 | -0.04 | 0.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 31-day EMA crosses above the 180-day EMA
- Sell — Sell when the 31-day EMA falls below the 180-day EMA