Trend-Following Backtester · Guide · backtest 한국어

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Jaiprakash Power Ventures Limited backtest

10 trend-following strategies were compared on the full daily history of Jaiprakash Power Ventures Limited. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 12.9%, MDD -46.0%).

Data 2005-04-18 ~ 2026-07-31daily bars 5,258 (21.3 years)Costs 0.5%Venue NSEMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR -2.5%, drawdown -99.7%).

Sharpe leader (same as main): MACD — CAGR 22.5%, MDD -69.6%, Sharpe 0.68, 49% exposure.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 25.0%p higher than buy and hold, while drawdown improves by 30.1%p (CAGR 12.9%, MDD -46.0%, exposure 24%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
MACD
fast=16, slow=59, signal=8
22.5%-69.6%0.680.3274.8x27149%
볼린저 밴드 돌파
n=11, k=1.6
17.6%-64.9%0.630.2731.7x33629%
Supertrend
period=29, mult=4
16.9%-71.5%0.590.2427.8x8038%
EMA 크로스오버
fast=6, slow=12
16.1%-79.6%0.560.2023.9x32643%
ROC 모멘텀
n=29, threshold=0.13
14.2%-59.6%0.560.2416.9x22624%
Donchian 채널 돌파
entryN=11, exitN=18
14.8%-89.0%0.530.1718.8x14453%
Keltner 채널 돌파
emaPeriod=10, atrPeriod=16, mult=1
12.9%-46.0%0.520.2813.1x27824%
Parabolic SAR
step=0.04, maxStep=0.32
12.0%-73.6%0.480.1611.1x61046%
SMA 크로스오버
fast=6, slow=44
11.2%-86.6%0.460.139.5x16644%
ADX / DI 방향성
period=13, threshold=11
8.3%-93.2%0.400.095.5x42147%
Buy and hold-2.5%-99.7%0.25-0.030.6x1100%
0.1 1x 10x 2006 2009 2012 2015 2018 2021 2024 MACDBuy and hold
MACD: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -25% -50% -75% -100% 2006 2009 2012 2015 2018 2021 2024 Buy and holdMACD
MACD maximum drawdown -69.6% (2014-06-09 → 2019-11-13), recovered after 2,194 days.

Rules of the top strategy

Looks at the gap (MACD) between a short and long average crossing its own signal line.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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