Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Shyam Metalics & Energy Ltd. backtest
10 trend-following strategies were compared on the full daily history of Shyam Metalics & Energy Ltd.. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 24.5%, MDD -26.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 22.7%, drawdown -42.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 24.5%, MDD -26.5%, Sharpe 1.00, 54% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 16.1%p (CAGR 24.5%, MDD -26.5%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=49, slow=193 |
24.5% | -26.5% | 1.00 | 0.93 | 3.1x | 3 | 54% |
| 볼린저 밴드 돌파 n=31, k=3 |
11.8% | -14.2% | 0.92 | 0.83 | 1.8x | 11 | 14% |
| SMA 크로스오버 fast=53, slow=74 |
21.4% | -25.9% | 0.90 | 0.82 | 2.7x | 23 | 53% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=24, mult=3.6 |
9.6% | -13.8% | 0.86 | 0.70 | 1.6x | 6 | 10% |
| ADX / DI 방향성 period=15, threshold=34 |
7.8% | -7.7% | 0.85 | 1.01 | 1.5x | 6 | 8% |
| ROC 모멘텀 n=120, threshold=0.08 |
15.2% | -27.1% | 0.76 | 0.56 | 2.1x | 33 | 41% |
| Donchian 채널 돌파 entryN=109, exitN=59 |
14.9% | -28.3% | 0.71 | 0.52 | 2.1x | 7 | 49% |
| MACD fast=31, slow=39, signal=18 |
11.4% | -28.5% | 0.58 | 0.40 | 1.7x | 44 | 49% |
| Supertrend period=19, mult=4 |
11.0% | -43.0% | 0.56 | 0.26 | 1.7x | 17 | 55% |
| Parabolic SAR step=0.04, maxStep=0.04 |
-1.5% | -49.0% | 0.06 | -0.03 | 0.9x | 71 | 53% |
| Buy and hold | 22.7% | -42.6% | 0.79 | 0.53 | 2.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 49-day EMA crosses above the 193-day EMA
- Sell — Sell when the 49-day EMA falls below the 193-day EMA