Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Poly Medicure Limited backtest
10 trend-following strategies were compared on the full daily history of Poly Medicure 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 33.5%, MDD -41.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 30.8%, drawdown -61.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 33.5%, MDD -41.4%, Sharpe 1.08, 62% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 20.6%p (CAGR 33.5%, MDD -41.4%, exposure 62%).
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=47, slow=176 |
33.5% | -41.4% | 1.08 | 0.81 | 68.6x | 13 | 62% |
| EMA 크로스오버 fast=62, slow=103 |
33.2% | -42.2% | 1.05 | 0.79 | 66.6x | 13 | 65% |
| Donchian 채널 돌파 entryN=54, exitN=103 |
31.6% | -51.6% | 0.98 | 0.61 | 55.8x | 13 | 72% |
| Supertrend period=9, mult=5 |
30.0% | -51.2% | 0.97 | 0.59 | 46.5x | 23 | 67% |
| ROC 모멘텀 n=131, threshold=-0.04 |
28.9% | -51.2% | 0.94 | 0.56 | 41.1x | 85 | 69% |
| 볼린저 밴드 돌파 n=39, k=3.1 |
15.1% | -33.9% | 0.75 | 0.44 | 7.8x | 48 | 26% |
| ADX / DI 방향성 period=37, threshold=32 |
10.8% | -21.3% | 0.71 | 0.51 | 4.5x | 10 | 16% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=12, mult=2 |
15.5% | -31.3% | 0.69 | 0.49 | 8.2x | 61 | 37% |
| MACD fast=15, slow=42, signal=22 |
13.3% | -51.4% | 0.58 | 0.26 | 6.2x | 156 | 47% |
| Parabolic SAR step=0.005, maxStep=0.38 |
11.5% | -49.1% | 0.52 | 0.23 | 4.9x | 115 | 55% |
| Buy and hold | 30.8% | -61.9% | 0.87 | 0.50 | 50.9x | 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 47-day average price crosses above the 176-day average
- Sell — Sell (to cash) when the 47-day average falls below the 176-day average