Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Rail Vikas Nigam Ltd. backtest
10 trend-following strategies were compared on the full daily history of Rail Vikas Nigam Ltd.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 42.6%, MDD -34.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 38.3%, drawdown -66.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 42.5%, MDD -35.5%, Sharpe 1.13, 53% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 42.6%, MDD -34.9%, exposure 47%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 4.2%p higher than buy and hold, while drawdown improves by 31.2%p (CAGR 42.6%, MDD -34.9%, exposure 47%).
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=50, slow=198 |
42.5% | -35.5% | 1.13 | 1.20 | 13.7x | 6 | 53% |
| ROC 모멘텀 n=123, threshold=0.07 |
42.6% | -34.9% | 1.11 | 1.22 | 13.8x | 46 | 47% |
| EMA 크로스오버 fast=6, slow=211 |
38.4% | -53.1% | 1.02 | 0.72 | 11.0x | 16 | 55% |
| ADX / DI 방향성 period=48, threshold=15 |
33.1% | -52.0% | 0.97 | 0.64 | 8.3x | 16 | 40% |
| 볼린저 밴드 돌파 n=62, k=1.5 |
33.6% | -39.2% | 0.97 | 0.86 | 8.5x | 24 | 38% |
| MACD fast=16, slow=59, signal=17 |
32.5% | -33.7% | 0.95 | 0.96 | 8.0x | 61 | 47% |
| Donchian 채널 돌파 entryN=115, exitN=43 |
31.3% | -36.4% | 0.94 | 0.86 | 7.5x | 10 | 34% |
| Supertrend period=9, mult=3.1 |
33.1% | -34.0% | 0.92 | 0.97 | 8.3x | 38 | 53% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=21, mult=2.3 |
27.3% | -33.0% | 0.86 | 0.83 | 6.0x | 30 | 36% |
| Parabolic SAR step=0.04, maxStep=0.24 |
24.5% | -65.8% | 0.76 | 0.37 | 5.1x | 206 | 47% |
| Buy and hold | 38.3% | -66.7% | 0.90 | 0.57 | 11.0x | 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 50-day average price crosses above the 198-day average
- Sell — Sell (to cash) when the 50-day average falls below the 198-day average