Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Shriram Finance Limited backtest
10 trend-following strategies were compared on the full daily history of Shriram Finance 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 29.2%, drawdown -72.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 20.5%, MDD -43.9%, Sharpe 0.87, 33% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 21.3%, MDD -77.3%, exposure 64%.
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=36, threshold=18 |
20.5% | -43.9% | 0.87 | 0.47 | 91.3x | 74 | 33% |
| Keltner 채널 돌파 emaPeriod=64, atrPeriod=22, mult=2.6 |
19.8% | -46.0% | 0.80 | 0.43 | 78.5x | 79 | 43% |
| 볼린저 밴드 돌파 n=63, k=2.3 |
18.7% | -47.8% | 0.79 | 0.39 | 63.6x | 73 | 40% |
| Supertrend period=13, mult=4.6 |
20.8% | -57.6% | 0.75 | 0.36 | 96.6x | 67 | 63% |
| Donchian 채널 돌파 entryN=81, exitN=77 |
20.7% | -53.5% | 0.75 | 0.39 | 93.6x | 29 | 63% |
| EMA 크로스오버 fast=9, slow=96 |
20.5% | -64.8% | 0.74 | 0.32 | 89.9x | 97 | 64% |
| SMA 크로스오버 fast=76, slow=157 |
21.3% | -77.3% | 0.74 | 0.28 | 105.8x | 47 | 64% |
| ROC 모멘텀 n=127, threshold=0.08 |
19.5% | -56.2% | 0.73 | 0.35 | 73.4x | 182 | 55% |
| MACD fast=19, slow=57, signal=23 |
15.9% | -56.7% | 0.66 | 0.28 | 35.4x | 209 | 52% |
| Parabolic SAR step=0.005, maxStep=0.24 |
9.1% | -71.1% | 0.44 | 0.13 | 8.2x | 202 | 55% |
| Buy and hold | 29.2% | -72.4% | 0.82 | 0.40 | 490.7x | 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, 36-day) is ≥ 18
- Sell — Sell when direction flips or the trend weakens (ADX < 18)