Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Nestle India Ltd. backtest
10 trend-following strategies were compared on the full daily history of Nestle India Ltd.. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.3%, MDD -28.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 4.6%, drawdown -78.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.3%, MDD -28.9%, Sharpe 0.47, 52% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 49.4%p (CAGR 6.3%, MDD -28.9%, exposure 52%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=40, slow=216 |
6.3% | -28.9% | 0.47 | 0.22 | 4.4x | 17 | 52% |
| SMA 크로스오버 fast=35, slow=201 |
5.4% | -31.3% | 0.41 | 0.17 | 3.5x | 23 | 52% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.09 |
4.6% | -78.5% | 0.37 | 0.06 | 2.9x | 5 | 100% |
| Supertrend period=17, mult=4.9 |
3.5% | -25.6% | 0.31 | 0.14 | 2.3x | 41 | 45% |
| ADX / DI 방향성 period=36, threshold=16 |
2.8% | -25.3% | 0.30 | 0.11 | 1.9x | 68 | 25% |
| 볼린저 밴드 돌파 n=15, k=3.2 |
0.6% | -11.3% | 0.22 | 0.05 | 1.2x | 10 | 2% |
| Donchian 채널 돌파 entryN=8, exitN=79 |
0.8% | -79.1% | 0.22 | 0.01 | 1.2x | 41 | 93% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=23, mult=2.3 |
0.3% | -41.9% | 0.08 | 0.01 | 1.1x | 74 | 24% |
| MACD fast=7, slow=54, signal=17 |
-0.1% | -41.0% | 0.06 | -0.00 | 1.0x | 278 | 54% |
| Parabolic SAR step=0.03, maxStep=0.38 |
-0.3% | -43.2% | 0.05 | -0.01 | 0.9x | 468 | 37% |
| Buy and hold | 4.6% | -78.2% | 0.37 | 0.06 | 2.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 40-day EMA crosses above the 216-day EMA
- Sell — Sell when the 40-day EMA falls below the 216-day EMA