Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Mahanagar Gas Ltd backtest
10 trend-following strategies were compared on the full daily history of Mahanagar Gas Ltd. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 8.1%, MDD -34.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.9%, drawdown -53.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.7%, MDD -41.5%, Sharpe 0.52, 73% exposure.
Return/drawdown alternative: Supertrend — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 12.3%p (CAGR 8.1%, MDD -34.5%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=22, exitN=75 |
10.7% | -41.5% | 0.52 | 0.26 | 2.8x | 19 | 73% |
| Supertrend period=16, mult=4.1 |
8.1% | -34.5% | 0.45 | 0.23 | 2.2x | 32 | 58% |
| ROC 모멘텀 n=54, threshold=-0.04 |
6.6% | -45.1% | 0.38 | 0.15 | 1.9x | 103 | 67% |
| SMA 크로스오버 fast=51, slow=57 |
5.8% | -44.1% | 0.36 | 0.13 | 1.8x | 61 | 56% |
| EMA 크로스오버 fast=60, slow=80 |
3.0% | -52.0% | 0.25 | 0.06 | 1.4x | 15 | 56% |
| Parabolic SAR step=0.015, maxStep=0.2 |
1.8% | -63.9% | 0.19 | 0.03 | 1.2x | 171 | 51% |
| 볼린저 밴드 돌파 n=55, k=1.7 |
0.2% | -43.1% | 0.11 | 0.01 | 1.0x | 50 | 36% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=15, mult=2.9 |
0.5% | -43.1% | 0.11 | 0.01 | 1.0x | 36 | 23% |
| MACD fast=16, slow=23, signal=14 |
-2.9% | -60.1% | -0.03 | -0.05 | 0.7x | 152 | 51% |
| ADX / DI 방향성 period=30, threshold=11 |
-3.0% | -58.5% | -0.03 | -0.05 | 0.7x | 108 | 49% |
| Buy and hold | 7.9% | -53.8% | 0.40 | 0.15 | 2.1x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 22 days
- Sell — Sell when price breaks below the lowest low of the last 75 days