Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Navin Fluorine International Limited backtest
10 trend-following strategies were compared on the full daily history of Navin Fluorine International Limited. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 30.2%, MDD -40.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 29.0%, drawdown -82.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 31.9%, MDD -47.4%, Sharpe 1.03, 66% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 35.3%p (CAGR 30.2%, MDD -40.8%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=60, slow=218 |
31.9% | -47.4% | 1.03 | 0.67 | 206.4x | 17 | 66% |
| Donchian 채널 돌파 entryN=108, exitN=61 |
30.2% | -40.8% | 1.02 | 0.74 | 160.1x | 17 | 58% |
| EMA 크로스오버 fast=58, slow=196 |
29.8% | -46.2% | 0.98 | 0.64 | 151.1x | 17 | 67% |
| ROC 모멘텀 n=149, threshold=0 |
28.1% | -51.2% | 0.93 | 0.55 | 117.3x | 99 | 66% |
| Supertrend period=18, mult=4.9 |
24.4% | -50.9% | 0.84 | 0.48 | 67.0x | 41 | 66% |
| ADX / DI 방향성 period=35, threshold=9 |
22.1% | -50.5% | 0.79 | 0.44 | 46.8x | 167 | 61% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=20, mult=1.6 |
20.8% | -55.7% | 0.78 | 0.37 | 37.8x | 85 | 53% |
| 볼린저 밴드 돌파 n=57, k=1.3 |
13.4% | -54.5% | 0.58 | 0.25 | 11.3x | 109 | 50% |
| MACD fast=23, slow=40, signal=27 |
11.1% | -58.6% | 0.51 | 0.19 | 7.6x | 167 | 49% |
| Parabolic SAR step=0.03, maxStep=0.12 |
8.8% | -72.7% | 0.43 | 0.12 | 5.1x | 461 | 52% |
| Buy and hold | 29.0% | -82.7% | 0.83 | 0.35 | 133.8x | 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 60-day average price crosses above the 218-day average
- Sell — Sell (to cash) when the 60-day average falls below the 218-day average