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 22.8%, MDD -76.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR 2.0%, drawdown -96.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 22.8%, MDD -76.0%, Sharpe 0.73, 55% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 20.8%p higher than buy and hold, while drawdown improves by 20.8%p (CAGR 22.8%, 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 |
22.8% | -76.0% | 0.73 | 0.30 | 108.5x | 71 | 55% |
| EMA 크로스오버 fast=42, slow=77 |
20.9% | -78.6% | 0.71 | 0.27 | 75.9x | 36 | 54% |
| Donchian 채널 돌파 entryN=100, exitN=73 |
17.0% | -83.3% | 0.63 | 0.20 | 36.1x | 24 | 52% |
| 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 |
13.7% | -82.7% | 0.56 | 0.17 | 18.7x | 172 | 44% |
| Keltner 채널 돌파 emaPeriod=102, atrPeriod=36, mult=0.2 |
14.2% | -79.6% | 0.56 | 0.18 | 20.6x | 176 | 53% |
| MACD fast=24, slow=117, signal=14 |
13.0% | -82.7% | 0.53 | 0.16 | 16.3x | 188 | 52% |
| ADX / DI 방향성 period=39, threshold=10 |
12.6% | -80.6% | 0.52 | 0.16 | 15.0x | 200 | 54% |
| 볼린저 밴드 돌파 n=55, k=1.1 |
10.3% | -86.2% | 0.47 | 0.12 | 9.3x | 140 | 43% |
| Parabolic SAR step=0.005, maxStep=0.24 |
10.0% | -77.2% | 0.46 | 0.13 | 8.8x | 174 | 48% |
| Buy and hold | 2.0% | -96.8% | 0.37 | 0.02 | 1.6x | 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 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