Trend-Following Backtester · Guide · backtest 한국어
equity · IN
ITC Limited backtest
10 trend-following strategies were compared on the full daily history of ITC 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 12.9%, MDD -40.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.8%, drawdown -57.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.9%, MDD -40.3%, Sharpe 0.62, 66% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 12.9%, MDD -45.6%, exposure 68%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.9%p lower than buy and hold, while drawdown improves by 16.7%p (CAGR 12.9%, MDD -40.3%, exposure 66%).
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=47, slow=245 |
12.9% | -40.3% | 0.62 | 0.32 | 40.9x | 30 | 66% |
| EMA 크로스오버 fast=54, slow=242 |
12.9% | -45.6% | 0.62 | 0.28 | 41.3x | 26 | 68% |
| ROC 모멘텀 n=171, threshold=-0.13 |
10.5% | -67.0% | 0.50 | 0.16 | 20.9x | 132 | 85% |
| Donchian 채널 돌파 entryN=20, exitN=104 |
10.4% | -65.7% | 0.49 | 0.16 | 20.6x | 50 | 86% |
| Supertrend period=18, mult=5 |
8.3% | -55.3% | 0.46 | 0.15 | 11.6x | 74 | 59% |
| 볼린저 밴드 돌파 n=31, k=3.2 |
0.8% | -36.8% | 0.13 | 0.02 | 1.3x | 56 | 11% |
| ADX / DI 방향성 period=45, threshold=19 |
0.4% | -30.6% | 0.09 | 0.01 | 1.1x | 36 | 9% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-1.2% | -75.1% | 0.06 | -0.02 | 0.7x | 271 | 54% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=20, mult=1.4 |
-2.3% | -83.3% | -0.01 | -0.03 | 0.5x | 224 | 48% |
| MACD fast=12, slow=32, signal=13 |
-3.6% | -81.3% | -0.07 | -0.04 | 0.3x | 501 | 49% |
| Buy and hold | 13.8% | -57.0% | 0.57 | 0.24 | 52.0x | 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 47-day average price crosses above the 245-day average
- Sell — Sell (to cash) when the 47-day average falls below the 245-day average