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 50.2%, MDD -32.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 47.9%, drawdown -58.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 32.5%, MDD -18.9%, Sharpe 1.51, 19% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 51.4%, MDD -35.3%, exposure 52%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 15.4%p lower than buy and hold, while drawdown improves by 39.1%p (CAGR 50.2%, 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 |
32.5% | -18.9% | 1.51 | 1.72 | 4.5x | 5 | 19% |
| EMA 크로스오버 fast=10, slow=97 |
51.4% | -35.3% | 1.41 | 1.46 | 9.2x | 11 | 52% |
| SMA 크로스오버 fast=1, slow=126 |
50.2% | -32.3% | 1.40 | 1.55 | 8.8x | 29 | 50% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=25, mult=3.7 |
37.3% | -25.2% | 1.37 | 1.48 | 5.4x | 9 | 28% |
| ROC 모멘텀 n=107, threshold=0.12 |
47.4% | -36.9% | 1.36 | 1.29 | 8.0x | 23 | 46% |
| ADX / DI 방향성 period=18, threshold=29 |
29.2% | -17.9% | 1.36 | 1.63 | 3.9x | 9 | 17% |
| Donchian 채널 돌파 entryN=92, exitN=43 |
45.5% | -33.3% | 1.35 | 1.37 | 7.4x | 7 | 46% |
| Supertrend period=23, mult=4.9 |
42.8% | -41.5% | 1.26 | 1.03 | 6.7x | 13 | 53% |
| MACD fast=11, slow=32, signal=13 |
34.2% | -36.9% | 1.05 | 0.92 | 4.8x | 75 | 53% |
| Parabolic SAR step=0.035, maxStep=0.22 |
29.2% | -40.6% | 0.96 | 0.72 | 3.9x | 137 | 52% |
| Buy and hold | 47.9% | -58.0% | 1.10 | 0.83 | 8.1x | 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