Trend-Following Backtester · Guide · backtest 한국어

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JSW Energy Limited backtest

10 trend-following strategies were compared on the full daily history of JSW Energy Limited. 4 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 9.8%, MDD -29.6%).

Data 2010-01-04 ~ 2026-07-31daily bars 4,095 (16.6 years)Costs 0.5%Venue NSEMonthly snapshot 2026-07-31

Results by strategy

4 of 10 beat buy and hold (CAGR 10.8%, drawdown -74.1%).

Sharpe leader (same as main): ADX / DI 방향성 — CAGR 6.5%, MDD -16.0%, Sharpe 0.80, 3% exposure.

CAGR reference leader: SMA 크로스오버 — CAGR 18.1%, MDD -47.1%, exposure 54%.

Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.3%p lower than buy and hold, while drawdown improves by 58.1%p (CAGR 9.8%, MDD -29.6%, exposure 13%).

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
ADX / DI 방향성
period=27, threshold=45
6.5%-16.0%0.800.412.8x23%
SMA 크로스오버
fast=64, slow=92
18.1%-47.1%0.710.3915.8x4354%
볼린저 밴드 돌파
n=74, k=3.5
9.8%-29.6%0.650.334.7x1213%
Donchian 채널 돌파
entryN=62, exitN=76
15.4%-63.6%0.620.2410.7x2154%
EMA 크로스오버
fast=37, slow=46
12.3%-64.1%0.540.196.8x5555%
Keltner 채널 돌파
emaPeriod=53, atrPeriod=18, mult=4
8.9%-44.5%0.520.204.1x2419%
Supertrend
period=13, mult=4.1
11.2%-61.9%0.500.185.8x5260%
ROC 모멘텀
n=77, threshold=0.09
9.9%-56.0%0.490.184.8x16238%
Parabolic SAR
step=0.005, maxStep=0.06
2.8%-78.5%0.240.041.6x13853%
MACD
fast=17, slow=72, signal=17
2.7%-62.7%0.240.041.6x16248%
Buy and hold10.8%-74.1%0.460.155.5x1100%
1x 10x 2011 2013 2015 2017 2019 2021 2023 2025 SMA 크로스오버ADX / DI 방향성Buy and hold
ADX / DI 방향성 (Sharpe leader), SMA 크로스오버 (CAGR reference), Buy and hold.
0% -19% -37% -56% -74% 2011 2013 2015 2017 2019 2021 2023 2025 Buy and holdSMA 크로스오버ADX / DI 방향성
ADX / DI 방향성 maximum drawdown -16.0% (2021-10-13 → 2021-11-03), prior peak not yet recovered.

Rules of the top strategy

Looks at both the direction and the strength of the trend; holds only in a strong uptrend.

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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