Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Ramkrishna Forgings Ltd backtest
10 trend-following strategies were compared on the full daily history of Ramkrishna Forgings Ltd. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
4 of 10 beat buy and hold (CAGR 22.7%, drawdown -94.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 17.9%, MDD -86.1%, Sharpe 0.69, 48% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 32.5%, MDD -78.9%, exposure 57%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=47, exitN=30 |
17.9% | -86.1% | 0.69 | 0.21 | 39.1x | 57 | 48% |
| SMA 크로스오버 fast=26, slow=40 |
17.7% | -83.0% | 0.66 | 0.21 | 37.7x | 135 | 54% |
| 볼린저 밴드 돌파 n=46, k=2.6 |
13.4% | -83.0% | 0.62 | 0.16 | 16.5x | 71 | 33% |
| ROC 모멘텀 n=44, threshold=0.08 |
11.4% | -85.3% | 0.54 | 0.13 | 11.2x | 289 | 43% |
| EMA 크로스오버 fast=17, slow=64 |
32.5% | -78.9% | 0.53 | 0.41 | 535.1x | 77 | 57% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=15, mult=1.1 |
29.3% | -78.3% | 0.49 | 0.37 | 312.4x | 123 | 47% |
| ADX / DI 방향성 period=32, threshold=14 |
26.7% | -78.3% | 0.47 | 0.34 | 197.5x | 145 | 48% |
| Supertrend period=27, mult=4 |
25.3% | -79.8% | 0.46 | 0.32 | 152.7x | 73 | 52% |
| MACD fast=19, slow=49, signal=14 |
14.8% | -80.1% | 0.37 | 0.18 | 21.8x | 251 | 52% |
| Parabolic SAR step=0.01, maxStep=0.26 |
14.7% | -82.4% | 0.37 | 0.18 | 21.4x | 292 | 52% |
| Buy and hold | 22.7% | -94.4% | 0.48 | 0.24 | 96.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 47 days
- Sell — Sell when price breaks below the lowest low of the last 30 days