Trend-Following Backtester · Guide · backtest 한국어
equity · IN
SJVN Limited backtest
10 trend-following strategies were compared on the full daily history of SJVN Limited. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.2%, MDD -41.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 6.4%, drawdown -58.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.1%, MDD -41.5%, Sharpe 0.51, 54% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 17.3%p (CAGR 7.2%, MDD -41.4%, exposure 53%).
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=90, slow=296 |
10.1% | -41.5% | 0.51 | 0.24 | 4.7x | 6 | 54% |
| SMA 크로스오버 fast=58, slow=200 |
7.2% | -41.4% | 0.41 | 0.17 | 3.1x | 22 | 53% |
| ROC 모멘텀 n=188, threshold=-0.07 |
6.2% | -43.7% | 0.36 | 0.14 | 2.6x | 70 | 66% |
| 볼린저 밴드 돌파 n=57, k=3.5 |
4.0% | -48.0% | 0.32 | 0.08 | 1.9x | 16 | 12% |
| Donchian 채널 돌파 entryN=113, exitN=73 |
4.4% | -51.1% | 0.30 | 0.09 | 2.0x | 16 | 37% |
| Supertrend period=9, mult=4.9 |
3.6% | -50.4% | 0.27 | 0.07 | 1.8x | 32 | 61% |
| ADX / DI 방향성 period=35, threshold=29 |
2.5% | -30.2% | 0.24 | 0.08 | 1.5x | 20 | 11% |
| Keltner 채널 돌파 emaPeriod=65, atrPeriod=17, mult=4 |
2.1% | -57.2% | 0.21 | 0.04 | 1.4x | 20 | 13% |
| MACD fast=22, slow=69, signal=19 |
-4.3% | -68.5% | -0.07 | -0.06 | 0.5x | 150 | 49% |
| Parabolic SAR step=0.02, maxStep=0.4 |
-10.0% | -84.8% | -0.36 | -0.12 | 0.2x | 300 | 47% |
| Buy and hold | 6.4% | -58.8% | 0.36 | 0.11 | 2.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 90-day EMA crosses above the 296-day EMA
- Sell — Sell when the 90-day EMA falls below the 296-day EMA