Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Shipping Corporation of India Limited backtest
10 trend-following strategies were compared on the full daily history of Shipping Corporation of India Limited. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.4%, MDD -53.4%).
Results by strategy
7 of 10 beat buy and hold (CAGR 6.5%, drawdown -88.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.2%, MDD -68.8%, Sharpe 0.50, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.7%p higher than buy and hold, while drawdown improves by 19.4%p (CAGR 10.4%, MDD -53.4%, exposure 52%).
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=43, exitN=59 |
12.2% | -68.8% | 0.50 | 0.18 | 16.2x | 48 | 57% |
| EMA 크로스오버 fast=19, slow=66 |
10.9% | -58.2% | 0.47 | 0.19 | 12.1x | 85 | 52% |
| SMA 크로스오버 fast=19, slow=104 |
10.4% | -53.4% | 0.46 | 0.19 | 10.9x | 68 | 52% |
| MACD fast=10, slow=47, signal=14 |
9.8% | -79.4% | 0.44 | 0.12 | 9.5x | 329 | 50% |
| ROC 모멘텀 n=66, threshold=-0.03 |
9.0% | -57.5% | 0.42 | 0.16 | 8.1x | 253 | 58% |
| 볼린저 밴드 돌파 n=18, k=0.7 |
8.6% | -56.7% | 0.41 | 0.15 | 7.3x | 403 | 44% |
| Supertrend period=11, mult=4.3 |
7.2% | -63.0% | 0.37 | 0.11 | 5.3x | 79 | 58% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=17, mult=0.4 |
5.9% | -70.6% | 0.34 | 0.08 | 4.0x | 447 | 44% |
| ADX / DI 방향성 period=30, threshold=38 |
2.4% | -18.0% | 0.31 | 0.13 | 1.8x | 4 | 2% |
| Parabolic SAR step=0.015, maxStep=0.12 |
2.6% | -86.5% | 0.24 | 0.03 | 1.9x | 392 | 49% |
| Buy and hold | 6.5% | -88.2% | 0.37 | 0.07 | 4.6x | 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 43 days
- Sell — Sell when price breaks below the lowest low of the last 59 days