Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Jindal Saw Limited backtest
10 trend-following strategies were compared on the full daily history of Jindal Saw Limited. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 21.8%, MDD -60.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR 15.8%, drawdown -88.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 24.5%, MDD -65.8%, Sharpe 0.73, 52% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 8.7%p higher than buy and hold, while drawdown improves by 22.7%p (CAGR 21.8%, MDD -60.3%, exposure 43%).
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=12, slow=208 |
24.5% | -65.8% | 0.73 | 0.37 | 197.8x | 45 | 52% |
| Donchian 채널 돌파 entryN=112, exitN=65 |
22.9% | -66.3% | 0.70 | 0.34 | 145.0x | 23 | 45% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=17, mult=1.9 |
21.8% | -60.3% | 0.69 | 0.36 | 117.1x | 93 | 43% |
| EMA 크로스오버 fast=55, slow=105 |
22.7% | -70.7% | 0.69 | 0.32 | 141.5x | 37 | 54% |
| Supertrend period=14, mult=5 |
22.6% | -76.0% | 0.68 | 0.30 | 137.0x | 53 | 55% |
| ROC 모멘텀 n=87, threshold=-0.01 |
22.0% | -65.7% | 0.67 | 0.33 | 121.8x | 179 | 59% |
| 볼린저 밴드 돌파 n=58, k=1.1 |
19.9% | -62.2% | 0.64 | 0.32 | 79.8x | 127 | 44% |
| ADX / DI 방향성 period=35, threshold=12 |
16.0% | -69.5% | 0.62 | 0.23 | 36.1x | 195 | 41% |
| Parabolic SAR step=0.005, maxStep=0.3 |
12.1% | -61.1% | 0.47 | 0.20 | 15.7x | 215 | 52% |
| MACD fast=16, slow=42, signal=6 |
11.7% | -80.3% | 0.46 | 0.15 | 14.6x | 415 | 51% |
| Buy and hold | 15.8% | -88.5% | 0.53 | 0.18 | 34.6x | 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 12-day average price crosses above the 208-day average
- Sell — Sell (to cash) when the 12-day average falls below the 208-day average