Trend-Following Backtester · Guide · backtest 한국어
equity · IN
PC Jeweller Ltd. backtest
10 trend-following strategies were compared on the full daily history of PC Jeweller Ltd.. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 27.5%, MDD -35.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.6%, drawdown -98.6%).
Sharpe leader (same as main): Supertrend — CAGR 57.7%, MDD -45.5%, Sharpe 1.28, 41% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 56.1%p higher than buy and hold, while drawdown improves by 53.2%p (CAGR 27.5%, MDD -35.7%, exposure 17%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=22, mult=0.4 |
57.7% | -45.5% | 1.28 | 1.27 | 488.1x | 672 | 41% |
| 볼린저 밴드 돌파 n=21, k=3 |
27.5% | -35.7% | 1.00 | 0.77 | 27.2x | 48 | 17% |
| Donchian 채널 돌파 entryN=68, exitN=14 |
25.7% | -46.6% | 0.95 | 0.55 | 22.4x | 36 | 23% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=15, mult=2.2 |
24.4% | -39.3% | 0.88 | 0.62 | 19.5x | 70 | 20% |
| ROC 모멘텀 n=13, threshold=0.01 |
28.2% | -55.0% | 0.83 | 0.51 | 29.3x | 350 | 44% |
| EMA 크로스오버 fast=13, slow=45 |
25.4% | -58.5% | 0.78 | 0.43 | 21.7x | 65 | 49% |
| MACD fast=10, slow=38, signal=17 |
25.0% | -79.0% | 0.73 | 0.32 | 20.7x | 170 | 52% |
| ADX / DI 방향성 period=30, threshold=13 |
20.3% | -68.7% | 0.69 | 0.30 | 12.3x | 93 | 40% |
| SMA 크로스오버 fast=13, slow=187 |
20.9% | -64.7% | 0.68 | 0.32 | 13.2x | 28 | 48% |
| Parabolic SAR step=0.02, maxStep=0.3 |
19.3% | -70.3% | 0.64 | 0.27 | 11.0x | 254 | 49% |
| Buy and hold | 1.6% | -98.6% | 0.33 | 0.02 | 1.2x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 22-day volatility, 0.4× band
- Sell — Sell when price drops below the trend line (flips down)