Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Samvardhana Motherson International Limited backtest
10 trend-following strategies were compared on the full daily history of Samvardhana Motherson International Limited. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 36.7%, drawdown -90.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 36.0%, MDD -88.9%, Sharpe 0.44, 87% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=13, exitN=76 |
36.0% | -88.9% | 0.44 | 0.41 | 1649.3x | 49 | 87% |
| EMA 크로스오버 fast=59, slow=110 |
35.0% | -88.9% | 0.42 | 0.39 | 1380.6x | 29 | 70% |
| ADX / DI 방향성 period=32, threshold=37 |
4.0% | -21.5% | 0.41 | 0.19 | 2.6x | 12 | 4% |
| SMA 크로스오버 fast=10, slow=190 |
32.9% | -89.5% | 0.41 | 0.37 | 944.3x | 43 | 67% |
| Supertrend period=21, mult=5 |
30.0% | -89.3% | 0.40 | 0.34 | 558.6x | 51 | 65% |
| ROC 모멘텀 n=84, threshold=-0.04 |
29.3% | -90.0% | 0.40 | 0.33 | 489.0x | 171 | 71% |
| 볼린저 밴드 돌파 n=126, k=0.9 |
29.2% | -90.7% | 0.39 | 0.32 | 482.1x | 71 | 60% |
| Keltner 채널 돌파 emaPeriod=97, atrPeriod=27, mult=1.7 |
21.3% | -90.4% | 0.34 | 0.23 | 103.6x | 97 | 56% |
| MACD fast=22, slow=47, signal=23 |
17.0% | -89.1% | 0.32 | 0.19 | 43.9x | 220 | 51% |
| Parabolic SAR step=0.015, maxStep=0.12 |
10.8% | -92.1% | 0.29 | 0.12 | 11.8x | 388 | 53% |
| Buy and hold | 36.7% | -90.0% | 0.45 | 0.41 | 1876.1x | 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 13 days
- Sell — Sell when price breaks below the lowest low of the last 76 days