Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Persistent Systems Limited backtest
10 trend-following strategies were compared on the full daily history of Persistent Systems Limited. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 21.7%, MDD -29.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 27.7%, drawdown -50.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 20.5%, MDD -25.6%, Sharpe 1.05, 36% exposure.
CAGR reference leader: Supertrend — CAGR 23.0%, MDD -54.1%, exposure 59%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.2%p lower than buy and hold, while drawdown improves by 25.0%p (CAGR 21.7%, MDD -29.5%, exposure 40%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=56, k=2.5 |
20.5% | -25.6% | 1.05 | 0.80 | 21.0x | 38 | 36% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=13, mult=3.1 |
21.7% | -29.5% | 1.05 | 0.74 | 24.7x | 30 | 40% |
| Donchian 채널 돌파 entryN=110, exitN=38 |
22.3% | -33.7% | 1.03 | 0.66 | 26.8x | 24 | 45% |
| Supertrend period=9, mult=2.8 |
23.0% | -54.1% | 0.98 | 0.42 | 29.2x | 87 | 59% |
| ADX / DI 방향성 period=24, threshold=28 |
14.3% | -16.4% | 0.95 | 0.87 | 8.8x | 32 | 18% |
| EMA 크로스오버 fast=17, slow=121 |
22.8% | -50.0% | 0.95 | 0.46 | 28.6x | 35 | 58% |
| SMA 크로스오버 fast=21, slow=210 |
22.6% | -57.6% | 0.92 | 0.39 | 27.8x | 26 | 60% |
| ROC 모멘텀 n=138, threshold=-0.04 |
21.6% | -55.3% | 0.86 | 0.39 | 24.3x | 92 | 68% |
| MACD fast=26, slow=40, signal=14 |
13.3% | -44.3% | 0.67 | 0.30 | 7.7x | 159 | 50% |
| Parabolic SAR step=0.025, maxStep=0.38 |
10.0% | -60.4% | 0.53 | 0.17 | 4.8x | 389 | 52% |
| Buy and hold | 27.7% | -50.7% | 0.92 | 0.55 | 54.3x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 56-day average (2.5× volatility)
- Sell — Sell when the close falls back to the 56-day middle average