Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Newgen Software Technologies Limited backtest
10 trend-following strategies were compared on the full daily history of Newgen Software Technologies Limited. 9 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 41.9%, MDD -43.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR 19.0%, drawdown -77.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 41.9%, MDD -43.8%, Sharpe 1.22, 52% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 22.9%p higher than buy and hold, while drawdown improves by 33.3%p (CAGR 41.9%, MDD -43.8%, 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=14, slow=108 |
41.9% | -43.8% | 1.22 | 0.96 | 19.6x | 11 | 52% |
| SMA 크로스오버 fast=9, slow=162 |
40.9% | -47.7% | 1.21 | 0.86 | 18.5x | 8 | 50% |
| ROC 모멘텀 n=122, threshold=0.1 |
35.3% | -48.5% | 1.14 | 0.73 | 13.1x | 18 | 45% |
| Donchian 채널 돌파 entryN=135, exitN=55 |
30.8% | -44.1% | 1.03 | 0.70 | 9.8x | 6 | 44% |
| Supertrend period=17, mult=2 |
29.0% | -44.4% | 0.93 | 0.65 | 8.7x | 67 | 52% |
| Parabolic SAR step=0.005, maxStep=0.18 |
27.0% | -47.0% | 0.88 | 0.58 | 7.6x | 63 | 56% |
| 볼린저 밴드 돌파 n=56, k=1.7 |
24.5% | -53.9% | 0.85 | 0.46 | 6.5x | 39 | 46% |
| ADX / DI 방향성 period=25, threshold=34 |
12.0% | -23.8% | 0.84 | 0.50 | 2.6x | 6 | 8% |
| MACD fast=23, slow=59, signal=14 |
22.4% | -52.1% | 0.78 | 0.43 | 5.6x | 79 | 50% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=9, mult=2.3 |
19.1% | -51.8% | 0.76 | 0.37 | 4.4x | 29 | 40% |
| Buy and hold | 19.0% | -77.1% | 0.61 | 0.25 | 4.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 14-day EMA crosses above the 108-day EMA
- Sell — Sell when the 14-day EMA falls below the 108-day EMA