Trend-Following Backtester · Guide · backtest 한국어
equity · IN
JK Tyre & Industries Limited backtest
10 trend-following strategies were compared on the full daily history of JK Tyre & Industries Limited. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 25.3%, MDD -44.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR 19.4%, drawdown -83.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 36.3%, MDD -44.2%, Sharpe 1.02, 62% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 16.8%p higher than buy and hold, while drawdown improves by 39.6%p (CAGR 25.3%, MDD -44.2%, exposure 44%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=9, exitN=17 |
36.3% | -44.2% | 1.02 | 0.82 | 939.6x | 128 | 62% |
| 볼린저 밴드 돌파 n=16, k=1.7 |
27.9% | -50.1% | 0.98 | 0.56 | 230.1x | 244 | 36% |
| SMA 크로스오버 fast=10, slow=16 |
29.9% | -48.9% | 0.95 | 0.61 | 327.7x | 324 | 51% |
| Supertrend period=5, mult=2.7 |
29.4% | -49.8% | 0.90 | 0.59 | 297.6x | 123 | 55% |
| MACD fast=19, slow=33, signal=14 |
25.5% | -47.3% | 0.86 | 0.54 | 152.1x | 232 | 49% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=12, mult=1.1 |
25.3% | -44.2% | 0.85 | 0.57 | 145.8x | 152 | 44% |
| EMA 크로스오버 fast=9, slow=20 |
25.4% | -62.4% | 0.82 | 0.41 | 150.5x | 192 | 53% |
| ROC 모멘텀 n=31, threshold=0.05 |
19.6% | -52.4% | 0.72 | 0.37 | 52.7x | 302 | 42% |
| Parabolic SAR step=0.015, maxStep=0.38 |
18.3% | -65.6% | 0.66 | 0.28 | 41.0x | 360 | 52% |
| ADX / DI 방향성 period=8, threshold=35 |
14.5% | -51.4% | 0.65 | 0.28 | 19.8x | 240 | 26% |
| Buy and hold | 19.4% | -83.8% | 0.62 | 0.23 | 51.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 9 days
- Sell — Sell when price breaks below the lowest low of the last 17 days