Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Jyothy Labs Limited backtest
10 trend-following strategies were compared on the full daily history of Jyothy Labs Limited. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 12.3%, MDD -44.2%).
Results by strategy
5 of 10 beat buy and hold (CAGR 9.0%, drawdown -75.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.9%, MDD -49.2%, Sharpe 0.62, 52% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 26.5%p (CAGR 12.3%, MDD -44.2%, exposure 59%).
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=24, slow=54 |
13.9% | -49.2% | 0.62 | 0.28 | 11.3x | 80 | 52% |
| ADX / DI 방향성 period=23, threshold=20 |
11.8% | -56.6% | 0.58 | 0.21 | 8.0x | 104 | 37% |
| EMA 크로스오버 fast=49, slow=134 |
12.3% | -44.2% | 0.57 | 0.28 | 8.7x | 26 | 59% |
| Donchian 채널 돌파 entryN=15, exitN=67 |
13.3% | -56.3% | 0.56 | 0.24 | 10.2x | 40 | 73% |
| ROC 모멘텀 n=149, threshold=-0.02 |
11.2% | -62.3% | 0.53 | 0.18 | 7.2x | 122 | 59% |
| 볼린저 밴드 돌파 n=59, k=0.6 |
8.5% | -61.7% | 0.45 | 0.14 | 4.5x | 136 | 47% |
| Supertrend period=21, mult=4.8 |
8.2% | -48.3% | 0.43 | 0.17 | 4.4x | 40 | 58% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=29, mult=3.7 |
4.4% | -46.7% | 0.34 | 0.09 | 2.2x | 28 | 19% |
| MACD fast=18, slow=64, signal=8 |
3.4% | -58.2% | 0.26 | 0.06 | 1.9x | 251 | 50% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-1.4% | -74.9% | 0.08 | -0.02 | 0.8x | 157 | 50% |
| Buy and hold | 9.0% | -75.7% | 0.42 | 0.12 | 5.0x | 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 24-day average price crosses above the 54-day average
- Sell — Sell (to cash) when the 24-day average falls below the 54-day average