Trend-Following Backtester · Guide · backtest 한국어
equity · IN
RHI Magnesita India Limited backtest
10 trend-following strategies were compared on the full daily history of RHI Magnesita India Limited. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 20.2%, MDD -44.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 20.3%, drawdown -61.9%).
Sharpe leader (same as main): Supertrend — CAGR 20.2%, MDD -44.1%, Sharpe 0.74, 65% exposure.
Return/drawdown alternative: Supertrend — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 17.9%p (CAGR 20.2%, MDD -44.1%, exposure 65%).
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=14, mult=5 |
20.2% | -44.1% | 0.74 | 0.46 | 14.1x | 22 | 65% |
| Donchian 채널 돌파 entryN=84, exitN=52 |
16.8% | -41.5% | 0.70 | 0.41 | 9.4x | 16 | 51% |
| SMA 크로스오버 fast=23, slow=46 |
17.4% | -51.5% | 0.70 | 0.34 | 10.0x | 75 | 57% |
| EMA 크로스오버 fast=19, slow=137 |
16.6% | -51.7% | 0.67 | 0.32 | 9.1x | 22 | 60% |
| ADX / DI 방향성 period=32, threshold=13 |
13.9% | -44.1% | 0.60 | 0.32 | 6.5x | 92 | 51% |
| ROC 모멘텀 n=111, threshold=-0.03 |
14.3% | -57.2% | 0.59 | 0.25 | 6.8x | 100 | 63% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=15, mult=3.4 |
8.9% | -30.8% | 0.56 | 0.29 | 3.4x | 18 | 16% |
| 볼린저 밴드 돌파 n=66, k=2 |
8.7% | -52.4% | 0.46 | 0.17 | 3.3x | 48 | 38% |
| Parabolic SAR step=0.005, maxStep=0.24 |
7.4% | -55.8% | 0.39 | 0.13 | 2.8x | 119 | 56% |
| MACD fast=8, slow=28, signal=19 |
2.6% | -57.8% | 0.23 | 0.04 | 1.4x | 238 | 48% |
| Buy and hold | 20.3% | -61.9% | 0.67 | 0.33 | 14.2x | 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) — 14-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)