Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Savita Oil Technologies Limited backtest
10 trend-following strategies were compared on the full daily history of Savita Oil Technologies Limited. 3 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
3 of 10 beat buy and hold (CAGR 21.2%, drawdown -93.2%).
Sharpe leader (same as main): Supertrend — CAGR 8.8%, MDD -91.9%, Sharpe 0.51, 67% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 23.8%, MDD -88.2%, exposure 60%.
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=8, mult=4 |
8.8% | -91.9% | 0.51 | 0.10 | 7.6x | 63 | 67% |
| ADX / DI 방향성 period=23, threshold=22 |
9.2% | -47.4% | 0.47 | 0.20 | 8.4x | 125 | 32% |
| 볼린저 밴드 돌파 n=42, k=0.9 |
3.8% | -91.0% | 0.39 | 0.04 | 2.5x | 199 | 47% |
| SMA 크로스오버 fast=7, slow=104 |
23.8% | -88.2% | 0.35 | 0.27 | 171.1x | 85 | 60% |
| EMA 크로스오버 fast=25, slow=61 |
23.0% | -88.4% | 0.34 | 0.26 | 147.4x | 73 | 60% |
| Donchian 채널 돌파 entryN=43, exitN=64 |
21.3% | -89.7% | 0.34 | 0.24 | 103.8x | 33 | 65% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=22, mult=0.8 |
1.9% | -92.8% | 0.33 | 0.02 | 1.6x | 233 | 45% |
| ROC 모멘텀 n=121, threshold=0.02 |
20.2% | -89.0% | 0.33 | 0.23 | 84.6x | 155 | 57% |
| MACD fast=19, slow=26, signal=18 |
0.9% | -91.1% | 0.31 | 0.01 | 1.2x | 282 | 49% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-0.4% | -91.7% | 0.27 | -0.00 | 0.9x | 179 | 51% |
| Buy and hold | 21.2% | -93.2% | 0.35 | 0.23 | 102.9x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 8-day volatility, 4× band
- Sell — Sell when price drops below the trend line (flips down)