Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Kalyan Jewellers India Ltd. backtest
10 trend-following strategies were compared on the full daily history of Kalyan Jewellers India Ltd.. 2 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 48.7%, MDD -32.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 46.5%, drawdown -58.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 31.4%, MDD -18.9%, Sharpe 1.46, 20% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 49.9%, MDD -35.3%, exposure 52%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 15.1%p lower than buy and hold, while drawdown improves by 39.1%p (CAGR 48.7%, MDD -32.3%, exposure 50%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=54, k=3.3 |
31.4% | -18.9% | 1.46 | 1.66 | 4.4x | 5 | 20% |
| EMA 크로스오버 fast=10, slow=97 |
49.9% | -35.3% | 1.38 | 1.41 | 9.0x | 11 | 52% |
| SMA 크로스오버 fast=1, slow=126 |
48.7% | -32.3% | 1.37 | 1.51 | 8.6x | 29 | 50% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=25, mult=3.7 |
36.1% | -25.2% | 1.34 | 1.43 | 5.3x | 9 | 29% |
| ROC 모멘텀 n=107, threshold=0.12 |
46.0% | -36.9% | 1.33 | 1.25 | 7.8x | 23 | 47% |
| Donchian 채널 돌파 entryN=92, exitN=43 |
44.2% | -33.3% | 1.32 | 1.33 | 7.3x | 7 | 47% |
| ADX / DI 방향성 period=18, threshold=29 |
27.7% | -17.9% | 1.29 | 1.55 | 3.8x | 11 | 18% |
| Supertrend period=23, mult=4.9 |
41.5% | -41.5% | 1.23 | 1.00 | 6.6x | 13 | 54% |
| MACD fast=11, slow=32, signal=13 |
31.6% | -36.9% | 1.00 | 0.86 | 4.5x | 76 | 53% |
| Parabolic SAR step=0.035, maxStep=0.22 |
27.1% | -40.6% | 0.91 | 0.67 | 3.7x | 139 | 52% |
| Buy and hold | 46.5% | -58.0% | 1.08 | 0.80 | 7.9x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 54-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 54-day middle average