Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Mangalore Refinery & Petrochemicals Ltd. backtest
10 trend-following strategies were compared on the full daily history of Mangalore Refinery & Petrochemicals Ltd.. 9 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 7.4%, MDD -32.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR 5.9%, drawdown -84.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.4%, MDD -32.6%, Sharpe 0.46, 8% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 10.5%, MDD -64.6%, exposure 45%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 52.3%p (CAGR 7.4%, MDD -32.6%, exposure 8%).
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=23, k=3.5 |
7.4% | -32.6% | 0.46 | 0.23 | 8.8x | 46 | 8% |
| EMA 크로스오버 fast=15, slow=80 |
10.5% | -64.6% | 0.45 | 0.16 | 21.0x | 99 | 45% |
| SMA 크로스오버 fast=59, slow=133 |
10.4% | -58.2% | 0.45 | 0.18 | 20.6x | 56 | 45% |
| ROC 모멘텀 n=119, threshold=0.17 |
9.3% | -67.1% | 0.43 | 0.14 | 15.3x | 176 | 28% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=10, mult=3.9 |
8.1% | -48.8% | 0.43 | 0.17 | 10.9x | 44 | 14% |
| Supertrend period=27, mult=5 |
8.6% | -67.9% | 0.41 | 0.13 | 12.6x | 72 | 44% |
| ADX / DI 방향성 period=35, threshold=23 |
7.3% | -42.8% | 0.40 | 0.17 | 8.6x | 46 | 14% |
| Donchian 채널 돌파 entryN=33, exitN=70 |
7.9% | -79.7% | 0.39 | 0.10 | 10.1x | 65 | 62% |
| MACD fast=16, slow=48, signal=48 |
7.8% | -77.6% | 0.39 | 0.10 | 10.1x | 223 | 50% |
| Parabolic SAR step=0.01, maxStep=0.14 |
3.2% | -89.1% | 0.26 | 0.04 | 2.6x | 365 | 44% |
| Buy and hold | 5.9% | -84.9% | 0.36 | 0.07 | 5.7x | 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 23-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 23-day middle average