Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Narayana Hrudayalaya Ltd. backtest
10 trend-following strategies were compared on the full daily history of Narayana Hrudayalaya Ltd.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR 18.5%, drawdown -48.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 20.1%, MDD -40.3%, Sharpe 0.85, 60% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 20.8%, MDD -40.3%, exposure 67%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=57, slow=166 |
20.1% | -40.3% | 0.85 | 0.50 | 7.0x | 13 | 60% |
| EMA 크로스오버 fast=43, slow=146 |
20.8% | -40.3% | 0.84 | 0.52 | 7.4x | 7 | 67% |
| ROC 모멘텀 n=147, threshold=-0.11 |
15.0% | -52.4% | 0.63 | 0.29 | 4.4x | 53 | 83% |
| Donchian 채널 돌파 entryN=17, exitN=75 |
14.5% | -46.9% | 0.62 | 0.31 | 4.2x | 15 | 83% |
| Supertrend period=30, mult=5 |
10.9% | -51.8% | 0.54 | 0.21 | 3.0x | 19 | 70% |
| ADX / DI 방향성 period=39, threshold=22 |
4.6% | -22.2% | 0.39 | 0.21 | 1.6x | 18 | 20% |
| 볼린저 밴드 돌파 n=30, k=3.5 |
2.1% | -20.8% | 0.29 | 0.10 | 1.2x | 14 | 8% |
| MACD fast=21, slow=65, signal=17 |
2.2% | -41.1% | 0.21 | 0.05 | 1.3x | 107 | 50% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=14, mult=1.4 |
1.4% | -41.8% | 0.17 | 0.03 | 1.2x | 65 | 43% |
| Parabolic SAR step=0.015, maxStep=0.24 |
-4.4% | -51.9% | -0.09 | -0.08 | 0.6x | 183 | 55% |
| Buy and hold | 18.5% | -48.6% | 0.70 | 0.38 | 6.0x | 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 57-day average price crosses above the 166-day average
- Sell — Sell (to cash) when the 57-day average falls below the 166-day average