Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Pricol Ltd. backtest
10 trend-following strategies were compared on the full daily history of Pricol Ltd.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 26.8%, MDD -67.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 21.3%, drawdown -90.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 26.8%, MDD -67.5%, Sharpe 0.72, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.4%p higher than buy and hold, while drawdown improves by 22.7%p (CAGR 26.8%, MDD -67.5%, exposure 59%).
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=209 |
26.8% | -67.5% | 0.72 | 0.40 | 307.6x | 29 | 59% |
| EMA 크로스오버 fast=52, slow=129 |
23.5% | -70.0% | 0.65 | 0.34 | 163.1x | 37 | 59% |
| ROC 모멘텀 n=149, threshold=0.02 |
17.4% | -67.7% | 0.57 | 0.26 | 48.7x | 135 | 58% |
| Donchian 채널 돌파 entryN=71, exitN=37 |
14.2% | -65.0% | 0.55 | 0.22 | 24.7x | 45 | 44% |
| Supertrend period=10, mult=3.6 |
9.0% | -85.0% | 0.43 | 0.11 | 8.0x | 95 | 58% |
| ADX / DI 방향성 period=47, threshold=30 |
4.3% | -20.5% | 0.41 | 0.21 | 2.7x | 10 | 6% |
| Keltner 채널 돌파 emaPeriod=85, atrPeriod=18, mult=3 |
7.5% | -78.0% | 0.40 | 0.10 | 5.8x | 65 | 38% |
| 볼린저 밴드 돌파 n=59, k=3.4 |
6.3% | -47.2% | 0.40 | 0.13 | 4.3x | 35 | 17% |
| MACD fast=18, slow=32, signal=14 |
2.0% | -83.7% | 0.25 | 0.02 | 1.6x | 330 | 51% |
| Parabolic SAR step=0.015, maxStep=0.38 |
0.8% | -92.9% | 0.21 | 0.01 | 1.2x | 410 | 51% |
| Buy and hold | 21.3% | -90.2% | 0.61 | 0.24 | 107.2x | 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 209-day average
- Sell — Sell (to cash) when the 47-day average falls below the 209-day average