Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Jamna Auto Industries Limited backtest
10 trend-following strategies were compared on the full daily history of Jamna Auto Industries Limited. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 22.2%, MDD -35.3%).
Results by strategy
4 of 10 beat buy and hold (CAGR 15.3%, drawdown -78.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 23.6%, MDD -48.6%, Sharpe 0.80, 55% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 8.2%p higher than buy and hold, while drawdown improves by 29.6%p (CAGR 22.2%, MDD -35.3%, exposure 58%).
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=37, slow=128 |
23.6% | -48.6% | 0.80 | 0.48 | 27.3x | 25 | 55% |
| EMA 크로스오버 fast=32, slow=164 |
22.2% | -35.3% | 0.77 | 0.63 | 23.0x | 17 | 58% |
| Donchian 채널 돌파 entryN=81, exitN=97 |
21.5% | -47.7% | 0.74 | 0.45 | 21.1x | 12 | 61% |
| ROC 모멘텀 n=142, threshold=-0.02 |
20.2% | -42.8% | 0.71 | 0.47 | 17.7x | 70 | 61% |
| Supertrend period=17, mult=3.6 |
11.7% | -55.4% | 0.50 | 0.21 | 5.6x | 63 | 56% |
| 볼린저 밴드 돌파 n=52, k=1.3 |
5.9% | -49.7% | 0.34 | 0.12 | 2.5x | 93 | 41% |
| ADX / DI 방향성 period=24, threshold=9 |
6.0% | -58.4% | 0.34 | 0.10 | 2.5x | 197 | 63% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=23, mult=1.3 |
5.1% | -52.2% | 0.32 | 0.10 | 2.2x | 108 | 43% |
| Parabolic SAR step=0.005, maxStep=0.12 |
3.7% | -69.3% | 0.27 | 0.05 | 1.8x | 125 | 54% |
| MACD fast=12, slow=25, signal=17 |
2.2% | -69.2% | 0.23 | 0.03 | 1.4x | 230 | 50% |
| Buy and hold | 15.3% | -78.2% | 0.55 | 0.20 | 9.3x | 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 37-day average price crosses above the 128-day average
- Sell — Sell (to cash) when the 37-day average falls below the 128-day average