Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Sansera Engineering Limited backtest
10 trend-following strategies were compared on the full daily history of Sansera Engineering Limited. 4 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 46.3%, MDD -17.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 40.6%, drawdown -40.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 46.3%, MDD -17.6%, Sharpe 1.49, 82% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 5.7%p higher than buy and hold, while drawdown improves by 22.6%p (CAGR 46.3%, MDD -17.6%, exposure 82%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=56, threshold=-0.08 |
46.3% | -17.6% | 1.49 | 2.63 | 6.7x | 29 | 82% |
| Donchian 채널 돌파 entryN=34, exitN=79 |
45.3% | -20.3% | 1.48 | 2.23 | 6.5x | 5 | 80% |
| SMA 크로스오버 fast=56, slow=217 |
42.2% | -33.7% | 1.44 | 1.25 | 5.8x | 3 | 72% |
| EMA 크로스오버 fast=37, slow=223 |
41.3% | -30.8% | 1.43 | 1.34 | 5.7x | 5 | 68% |
| Supertrend period=9, mult=4.4 |
36.8% | -20.6% | 1.27 | 1.79 | 4.8x | 11 | 74% |
| ADX / DI 방향성 period=43, threshold=7 |
35.2% | -30.8% | 1.26 | 1.14 | 4.5x | 31 | 74% |
| 볼린저 밴드 돌파 n=39, k=1.8 |
26.3% | -24.3% | 1.19 | 1.08 | 3.2x | 21 | 43% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=12, mult=1 |
27.8% | -21.0% | 1.18 | 1.33 | 3.4x | 41 | 49% |
| MACD fast=20, slow=73, signal=15 |
16.3% | -24.7% | 0.81 | 0.66 | 2.1x | 51 | 48% |
| Parabolic SAR step=0.015, maxStep=0.24 |
15.4% | -27.9% | 0.74 | 0.55 | 2.1x | 90 | 55% |
| Buy and hold | 40.6% | -40.2% | 1.22 | 1.01 | 5.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 56-day return is greater than -8%
- Sell — Sell when the 56-day return drops to -8% or below