Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Jindal Stainless Limited backtest
10 trend-following strategies were compared on the full daily history of Jindal Stainless Limited. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 23.2%, MDD -76.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR 2.3%, drawdown -96.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 23.2%, MDD -76.0%, Sharpe 0.74, 55% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 20.9%p higher than buy and hold, while drawdown improves by 20.8%p (CAGR 23.2%, MDD -76.0%, exposure 55%).
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=28, slow=75 |
23.2% | -76.0% | 0.74 | 0.31 | 113.8x | 70 | 55% |
| EMA 크로스오버 fast=42, slow=77 |
21.0% | -78.6% | 0.71 | 0.27 | 75.9x | 36 | 54% |
| Donchian 채널 돌파 entryN=100, exitN=73 |
17.1% | -83.3% | 0.63 | 0.21 | 36.1x | 24 | 52% |
| Keltner 채널 돌파 emaPeriod=102, atrPeriod=36, mult=0.2 |
14.5% | -79.6% | 0.56 | 0.18 | 21.6x | 173 | 53% |
| Supertrend period=15, mult=4.7 |
14.5% | -92.3% | 0.56 | 0.16 | 21.7x | 48 | 56% |
| ROC 모멘텀 n=101, threshold=0.11 |
13.8% | -82.7% | 0.56 | 0.17 | 18.7x | 172 | 44% |
| MACD fast=24, slow=117, signal=14 |
13.3% | -82.7% | 0.54 | 0.16 | 17.1x | 187 | 52% |
| ADX / DI 방향성 period=39, threshold=10 |
12.9% | -80.6% | 0.52 | 0.16 | 15.6x | 198 | 54% |
| 볼린저 밴드 돌파 n=55, k=1.1 |
10.6% | -86.2% | 0.48 | 0.12 | 9.8x | 139 | 43% |
| Parabolic SAR step=0.005, maxStep=0.24 |
10.3% | -77.2% | 0.47 | 0.13 | 9.3x | 173 | 48% |
| Buy and hold | 2.3% | -96.8% | 0.37 | 0.02 | 1.7x | 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 28-day average price crosses above the 75-day average
- Sell — Sell (to cash) when the 28-day average falls below the 75-day average