Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Muthoot Finance Ltd backtest
10 trend-following strategies were compared on the full daily history of Muthoot Finance Ltd. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 22.8%, MDD -48.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 20.7%, drawdown -67.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 22.8%, MDD -48.7%, Sharpe 0.82, 66% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 18.8%p (CAGR 22.8%, MDD -48.7%, exposure 66%).
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=55, slow=154 |
22.8% | -48.7% | 0.82 | 0.47 | 22.9x | 18 | 66% |
| EMA 크로스오버 fast=48, slow=135 |
18.6% | -46.2% | 0.71 | 0.40 | 13.4x | 22 | 66% |
| ROC 모멘텀 n=111, threshold=0.03 |
17.6% | -34.4% | 0.71 | 0.51 | 11.8x | 108 | 59% |
| Donchian 채널 돌파 entryN=93, exitN=75 |
17.1% | -38.1% | 0.71 | 0.45 | 11.1x | 16 | 59% |
| Supertrend period=27, mult=4.7 |
13.1% | -42.4% | 0.57 | 0.31 | 6.5x | 38 | 65% |
| 볼린저 밴드 돌파 n=75, k=2.3 |
8.0% | -41.6% | 0.46 | 0.19 | 3.2x | 44 | 38% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=26, mult=4 |
5.7% | -38.5% | 0.43 | 0.15 | 2.3x | 28 | 19% |
| ADX / DI 방향성 period=16, threshold=26 |
5.9% | -42.3% | 0.39 | 0.14 | 2.4x | 84 | 23% |
| MACD fast=22, slow=28, signal=18 |
6.7% | -52.0% | 0.38 | 0.13 | 2.7x | 159 | 47% |
| Parabolic SAR step=0.005, maxStep=0.12 |
5.6% | -48.1% | 0.34 | 0.12 | 2.3x | 117 | 54% |
| Buy and hold | 20.7% | -67.5% | 0.69 | 0.31 | 17.6x | 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 55-day average price crosses above the 154-day average
- Sell — Sell (to cash) when the 55-day average falls below the 154-day average