Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Ramco Cements Limited backtest
10 trend-following strategies were compared on the full daily history of Ramco Cements Limited. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 18.6%, MDD -43.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 16.8%, drawdown -76.1%).
Sharpe leader (same as main): Supertrend — CAGR 18.6%, MDD -43.2%, Sharpe 0.79, 64% exposure.
Return/drawdown alternative: Supertrend — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 32.9%p (CAGR 18.6%, MDD -43.2%, exposure 64%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=28, mult=4.6 |
18.6% | -43.2% | 0.79 | 0.43 | 60.9x | 46 | 64% |
| SMA 크로스오버 fast=10, slow=219 |
16.3% | -44.9% | 0.70 | 0.36 | 38.1x | 40 | 65% |
| EMA 크로스오버 fast=51, slow=74 |
16.2% | -44.9% | 0.69 | 0.36 | 36.9x | 40 | 64% |
| Donchian 채널 돌파 entryN=49, exitN=79 |
16.1% | -46.9% | 0.68 | 0.34 | 36.2x | 32 | 71% |
| ROC 모멘텀 n=89, threshold=-0.01 |
15.0% | -52.6% | 0.66 | 0.29 | 29.0x | 191 | 65% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=9, mult=1.3 |
12.1% | -47.1% | 0.60 | 0.26 | 15.6x | 124 | 50% |
| 볼린저 밴드 돌파 n=29, k=1 |
11.7% | -44.6% | 0.59 | 0.26 | 14.3x | 258 | 46% |
| ADX / DI 방향성 period=25, threshold=7 |
12.5% | -40.9% | 0.59 | 0.31 | 17.1x | 313 | 59% |
| MACD fast=10, slow=57, signal=23 |
8.8% | -48.4% | 0.47 | 0.18 | 7.7x | 291 | 51% |
| Parabolic SAR step=0.015, maxStep=0.16 |
6.6% | -59.1% | 0.38 | 0.11 | 4.6x | 426 | 53% |
| Buy and hold | 16.8% | -76.1% | 0.63 | 0.22 | 41.7x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 28-day volatility, 4.6× band
- Sell — Sell when price drops below the trend line (flips down)