Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Schneider Electric Infrastructure Limited backtest
10 trend-following strategies were compared on the full daily history of Schneider Electric Infrastructure Limited. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 24.0%, drawdown -73.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 12.1%, MDD -25.4%, Sharpe 0.81, 10% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 15.2%, MDD -70.9%, exposure 50%.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=60, threshold=26 |
12.1% | -25.4% | 0.81 | 0.48 | 5.2x | 4 | 10% |
| SMA 크로스오버 fast=53, slow=206 |
15.2% | -70.9% | 0.59 | 0.21 | 7.6x | 27 | 50% |
| EMA 크로스오버 fast=47, slow=71 |
13.7% | -78.1% | 0.55 | 0.18 | 6.3x | 41 | 53% |
| Supertrend period=10, mult=4.9 |
13.8% | -78.1% | 0.54 | 0.18 | 6.4x | 31 | 64% |
| Donchian 채널 돌파 entryN=117, exitN=90 |
11.3% | -73.2% | 0.49 | 0.15 | 4.6x | 15 | 46% |
| ROC 모멘텀 n=116, threshold=0.09 |
11.0% | -75.5% | 0.49 | 0.15 | 4.5x | 109 | 41% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=14, mult=2.4 |
8.4% | -71.4% | 0.47 | 0.12 | 3.2x | 50 | 23% |
| 볼린저 밴드 돌파 n=42, k=2.9 |
7.3% | -72.7% | 0.42 | 0.10 | 2.8x | 44 | 22% |
| Parabolic SAR step=0.01, maxStep=0.24 |
5.5% | -69.6% | 0.33 | 0.08 | 2.2x | 194 | 49% |
| MACD fast=12, slow=65, signal=16 |
1.3% | -75.7% | 0.20 | 0.02 | 1.2x | 184 | 48% |
| Buy and hold | 24.0% | -73.4% | 0.70 | 0.33 | 21.8x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 60-day) is ≥ 26
- Sell — Sell when direction flips or the trend weakens (ADX < 26)