Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Lodha Developers Ltd. backtest
10 trend-following strategies were compared on the full daily history of Lodha Developers Ltd.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 32.0%, MDD -39.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 35.6%, drawdown -57.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 32.0%, MDD -39.0%, Sharpe 1.02, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.6%p lower than buy and hold, while drawdown improves by 18.6%p (CAGR 32.0%, MDD -39.0%, exposure 57%).
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=33, slow=49 |
32.0% | -39.0% | 1.02 | 0.82 | 4.4x | 31 | 57% |
| ROC 모멘텀 n=41, threshold=0.1 |
22.6% | -25.9% | 0.91 | 0.87 | 3.0x | 69 | 38% |
| EMA 크로스오버 fast=31, slow=53 |
25.7% | -43.5% | 0.87 | 0.59 | 3.4x | 15 | 53% |
| Parabolic SAR step=0.02, maxStep=0.16 |
25.4% | -35.0% | 0.86 | 0.73 | 3.4x | 104 | 54% |
| ADX / DI 방향성 period=53, threshold=10 |
17.7% | -31.6% | 0.79 | 0.56 | 2.4x | 23 | 32% |
| Donchian 채널 돌파 entryN=56, exitN=25 |
19.5% | -38.4% | 0.78 | 0.51 | 2.6x | 13 | 40% |
| Supertrend period=27, mult=4.9 |
19.1% | -62.4% | 0.70 | 0.31 | 2.6x | 15 | 58% |
| 볼린저 밴드 돌파 n=56, k=1.2 |
13.7% | -40.6% | 0.61 | 0.34 | 2.0x | 27 | 41% |
| MACD fast=7, slow=20, signal=6 |
13.6% | -29.7% | 0.58 | 0.46 | 2.0x | 139 | 50% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=23, mult=2.6 |
11.5% | -29.4% | 0.56 | 0.39 | 1.8x | 17 | 33% |
| Buy and hold | 35.6% | -57.5% | 0.91 | 0.62 | 5.1x | 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 33-day average price crosses above the 49-day average
- Sell — Sell (to cash) when the 33-day average falls below the 49-day average