Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Prime Focus Limited backtest
10 trend-following strategies were compared on the full daily history of Prime Focus Limited. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 21.2%, MDD -65.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 11.4%, drawdown -95.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 21.2%, MDD -65.4%, Sharpe 0.67, 56% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 9.8%p higher than buy and hold, while drawdown improves by 30.5%p (CAGR 21.2%, MDD -65.4%, exposure 56%).
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=132, slow=197 |
21.2% | -65.4% | 0.67 | 0.32 | 47.9x | 25 | 56% |
| MACD fast=7, slow=8, signal=9 |
16.1% | -84.0% | 0.56 | 0.19 | 20.1x | 602 | 49% |
| Supertrend period=11, mult=3.3 |
14.6% | -80.3% | 0.53 | 0.18 | 15.5x | 81 | 57% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=11, mult=1.1 |
9.9% | -56.0% | 0.46 | 0.18 | 6.7x | 209 | 25% |
| EMA 크로스오버 fast=39, slow=175 |
10.6% | -69.2% | 0.45 | 0.15 | 7.5x | 29 | 57% |
| Donchian 채널 돌파 entryN=39, exitN=58 |
10.3% | -84.3% | 0.44 | 0.12 | 7.2x | 43 | 62% |
| 볼린저 밴드 돌파 n=11, k=2 |
9.5% | -53.2% | 0.44 | 0.18 | 6.3x | 285 | 26% |
| ADX / DI 방향성 period=37, threshold=13 |
7.0% | -87.0% | 0.37 | 0.08 | 3.9x | 111 | 49% |
| ROC 모멘텀 n=123, threshold=-0.02 |
4.3% | -85.6% | 0.31 | 0.05 | 2.3x | 195 | 58% |
| Parabolic SAR step=0.04, maxStep=0.12 |
2.9% | -90.7% | 0.27 | 0.03 | 1.8x | 561 | 47% |
| Buy and hold | 11.4% | -95.9% | 0.47 | 0.12 | 8.8x | 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 132-day average price crosses above the 197-day average
- Sell — Sell (to cash) when the 132-day average falls below the 197-day average