Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Man Industries (India) Limited backtest
10 trend-following strategies were compared on the full daily history of Man Industries (India) Limited. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 11.5%, MDD -53.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 6.8%, drawdown -93.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 20.0%, MDD -55.4%, Sharpe 0.68, 48% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 13.2%p higher than buy and hold, while drawdown improves by 37.6%p (CAGR 11.5%, MDD -53.8%, exposure 29%).
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=11, slow=96 |
20.0% | -55.4% | 0.68 | 0.36 | 47.5x | 63 | 48% |
| EMA 크로스오버 fast=13, slow=79 |
19.3% | -54.4% | 0.66 | 0.35 | 41.8x | 63 | 48% |
| 볼린저 밴드 돌파 n=65, k=2.1 |
14.8% | -65.2% | 0.60 | 0.23 | 18.7x | 55 | 32% |
| Donchian 채널 돌파 entryN=63, exitN=45 |
15.8% | -68.7% | 0.59 | 0.23 | 22.4x | 31 | 47% |
| ROC 모멘텀 n=119, threshold=-0.04 |
14.6% | -62.3% | 0.55 | 0.24 | 18.1x | 133 | 53% |
| Supertrend period=23, mult=5 |
14.1% | -66.6% | 0.55 | 0.21 | 16.4x | 47 | 47% |
| ADX / DI 방향성 period=38, threshold=18 |
11.5% | -53.8% | 0.52 | 0.21 | 10.0x | 69 | 29% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=21, mult=2.9 |
8.0% | -53.9% | 0.41 | 0.15 | 5.1x | 65 | 24% |
| Parabolic SAR step=0.005, maxStep=0.38 |
5.6% | -80.6% | 0.34 | 0.07 | 3.2x | 163 | 48% |
| MACD fast=8, slow=49, signal=15 |
0.6% | -85.7% | 0.21 | 0.01 | 1.1x | 327 | 49% |
| Buy and hold | 6.8% | -93.0% | 0.39 | 0.07 | 4.0x | 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 11-day average price crosses above the 96-day average
- Sell — Sell (to cash) when the 11-day average falls below the 96-day average