Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Solar Industries India Limited backtest
10 trend-following strategies were compared on the full daily history of Solar Industries India Limited. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 30.0%, MDD -30.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 33.3%, drawdown -65.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 30.0%, MDD -30.4%, Sharpe 1.22, 51% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 32.6%, MDD -48.5%, exposure 65%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.3%p lower than buy and hold, while drawdown improves by 35.1%p (CAGR 30.0%, MDD -30.4%, exposure 51%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=77, k=1.6 |
30.0% | -30.4% | 1.22 | 0.99 | 206.1x | 57 | 51% |
| EMA 크로스오버 fast=43, slow=54 |
32.6% | -48.5% | 1.17 | 0.67 | 308.1x | 45 | 65% |
| SMA 크로스오버 fast=47, slow=149 |
30.9% | -58.2% | 1.15 | 0.53 | 237.2x | 27 | 66% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=8, mult=1.8 |
27.0% | -34.9% | 1.14 | 0.77 | 129.1x | 67 | 45% |
| Supertrend period=11, mult=5 |
31.2% | -49.1% | 1.09 | 0.64 | 250.3x | 29 | 70% |
| Donchian 채널 돌파 entryN=108, exitN=74 |
28.5% | -55.1% | 1.09 | 0.52 | 163.5x | 19 | 67% |
| ROC 모멘텀 n=159, threshold=0.02 |
28.2% | -48.4% | 1.07 | 0.58 | 155.4x | 123 | 68% |
| ADX / DI 방향성 period=28, threshold=12 |
23.4% | -49.7% | 0.97 | 0.47 | 71.5x | 162 | 54% |
| MACD fast=7, slow=57, signal=19 |
13.7% | -50.0% | 0.65 | 0.27 | 13.6x | 290 | 50% |
| Parabolic SAR step=0.02, maxStep=0.36 |
11.9% | -48.9% | 0.58 | 0.24 | 9.8x | 437 | 55% |
| Buy and hold | 33.3% | -65.5% | 1.00 | 0.51 | 345.7x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 77-day average (1.6× volatility)
- Sell — Sell when the close falls back to the 77-day middle average