Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Power Finance Corporation Limited backtest
10 trend-following strategies were compared on the full daily history of Power Finance Corporation Limited. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 18.9%, MDD -50.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 12.3%, drawdown -74.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 18.9%, MDD -50.6%, Sharpe 0.70, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 6.6%p higher than buy and hold, while drawdown improves by 23.6%p (CAGR 18.9%, MDD -50.6%, exposure 57%).
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=58, slow=110 |
18.9% | -50.6% | 0.70 | 0.37 | 28.8x | 34 | 57% |
| EMA 크로스오버 fast=35, slow=45 |
12.6% | -54.5% | 0.54 | 0.23 | 10.0x | 62 | 55% |
| ADX / DI 방향성 period=35, threshold=23 |
6.7% | -23.9% | 0.53 | 0.28 | 3.5x | 24 | 10% |
| Donchian 채널 돌파 entryN=83, exitN=76 |
11.4% | -59.1% | 0.52 | 0.19 | 8.2x | 23 | 50% |
| ROC 모멘텀 n=147, threshold=0.12 |
10.0% | -44.6% | 0.50 | 0.22 | 6.3x | 125 | 41% |
| 볼린저 밴드 돌파 n=41, k=3.4 |
4.8% | -30.6% | 0.42 | 0.16 | 2.5x | 14 | 7% |
| Supertrend period=18, mult=4.4 |
8.1% | -62.4% | 0.41 | 0.13 | 4.5x | 62 | 53% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=10, mult=3.2 |
3.6% | -24.1% | 0.40 | 0.15 | 2.0x | 24 | 6% |
| MACD fast=18, slow=22, signal=13 |
1.0% | -67.9% | 0.18 | 0.01 | 1.2x | 291 | 50% |
| Parabolic SAR step=0.015, maxStep=0.08 |
-0.6% | -69.7% | 0.13 | -0.01 | 0.9x | 307 | 52% |
| Buy and hold | 12.3% | -74.2% | 0.49 | 0.17 | 9.5x | 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 58-day average price crosses above the 110-day average
- Sell — Sell (to cash) when the 58-day average falls below the 110-day average