Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Mphasis Limited backtest
10 trend-following strategies were compared on the full daily history of Mphasis Limited. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 14.5%, MDD -30.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 16.0%, drawdown -63.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 14.5%, MDD -30.4%, Sharpe 0.82, 20% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 15.5%, MDD -37.7%, exposure 31%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.5%p lower than buy and hold, while drawdown improves by 32.6%p (CAGR 14.5%, MDD -30.4%, exposure 20%).
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=47, k=2.9 |
14.5% | -30.4% | 0.82 | 0.48 | 26.2x | 40 | 20% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=24, mult=2.8 |
15.5% | -37.7% | 0.78 | 0.41 | 32.6x | 48 | 31% |
| ADX / DI 방향성 period=38, threshold=26 |
9.7% | -16.2% | 0.73 | 0.60 | 9.4x | 14 | 12% |
| Donchian 채널 돌파 entryN=64, exitN=22 |
14.0% | -38.4% | 0.72 | 0.36 | 23.5x | 55 | 34% |
| SMA 크로스오버 fast=46, slow=56 |
13.2% | -62.0% | 0.59 | 0.21 | 20.2x | 129 | 55% |
| Supertrend period=9, mult=4.7 |
12.9% | -74.1% | 0.58 | 0.17 | 18.7x | 53 | 58% |
| ROC 모멘텀 n=61, threshold=0.1 |
9.6% | -76.2% | 0.53 | 0.13 | 9.2x | 252 | 33% |
| EMA 크로스오버 fast=14, slow=77 |
8.8% | -80.9% | 0.45 | 0.11 | 7.6x | 115 | 57% |
| MACD fast=12, slow=52, signal=18 |
4.5% | -65.7% | 0.30 | 0.07 | 2.9x | 308 | 52% |
| Parabolic SAR step=0.005, maxStep=0.18 |
0.1% | -79.7% | 0.14 | 0.00 | 1.0x | 205 | 58% |
| Buy and hold | 16.0% | -63.1% | 0.58 | 0.25 | 35.9x | 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 47-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 47-day middle average