Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Hitachi Energy India Limited backtest
10 trend-following strategies were compared on the full daily history of Hitachi Energy India Limited. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 66.9%, MDD -30.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 82.2%, drawdown -40.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 72.5%, MDD -40.3%, Sharpe 1.49, 91% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 9.7%p lower than buy and hold, while drawdown improves by -0.0%p (CAGR 66.9%, MDD -30.6%, exposure 83%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=119, slow=136 |
72.5% | -40.3% | 1.49 | 1.80 | 33.1x | 3 | 91% |
| Donchian 채널 돌파 entryN=8, exitN=54 |
70.1% | -44.9% | 1.48 | 1.56 | 30.3x | 9 | 94% |
| ROC 모멘텀 n=138, threshold=-0.03 |
66.9% | -30.6% | 1.47 | 2.19 | 26.8x | 33 | 83% |
| Supertrend period=14, mult=4.6 |
59.5% | -51.8% | 1.38 | 1.15 | 20.0x | 12 | 88% |
| SMA 크로스오버 fast=6, slow=141 |
56.4% | -32.6% | 1.36 | 1.73 | 17.7x | 23 | 77% |
| Parabolic SAR step=0.015, maxStep=0.14 |
42.0% | -26.2% | 1.24 | 1.60 | 9.5x | 101 | 57% |
| ADX / DI 방향성 period=36, threshold=17 |
43.1% | -30.9% | 1.22 | 1.40 | 10.0x | 16 | 57% |
| MACD fast=11, slow=28, signal=10 |
40.1% | -25.0% | 1.22 | 1.60 | 8.7x | 104 | 46% |
| 볼린저 밴드 돌파 n=13, k=0.9 |
39.6% | -25.3% | 1.18 | 1.56 | 8.5x | 134 | 51% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=12, mult=1.3 |
33.6% | -39.9% | 1.02 | 0.84 | 6.4x | 52 | 59% |
| Buy and hold | 82.2% | -40.3% | 1.60 | 2.04 | 47.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 119-day EMA crosses above the 136-day EMA
- Sell — Sell when the 119-day EMA falls below the 136-day EMA