Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Srf Limited backtest
10 trend-following strategies were compared on the full daily history of Srf Limited. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 29.3%, drawdown -95.3%).
Sharpe leader (same as main): Supertrend — CAGR 14.6%, MDD -88.5%, Sharpe 0.63, 57% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 31.1%, MDD -89.7%, exposure 65%.
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=29, mult=2.4 |
14.6% | -88.5% | 0.63 | 0.17 | 26.7x | 176 | 57% |
| SMA 크로스오버 fast=81, slow=287 |
31.1% | -89.7% | 0.52 | 0.35 | 682.8x | 18 | 65% |
| Donchian 채널 돌파 entryN=11, exitN=52 |
29.3% | -91.1% | 0.51 | 0.32 | 486.5x | 65 | 82% |
| EMA 크로스오버 fast=58, slow=204 |
24.5% | -94.0% | 0.46 | 0.26 | 196.4x | 26 | 67% |
| 볼린저 밴드 돌파 n=43, k=0.7 |
24.4% | -82.7% | 0.45 | 0.29 | 190.9x | 192 | 53% |
| ROC 모멘텀 n=74, threshold=-0.03 |
22.0% | -93.7% | 0.44 | 0.23 | 120.1x | 245 | 67% |
| MACD fast=16, slow=47, signal=5 |
6.6% | -85.5% | 0.42 | 0.08 | 4.7x | 450 | 51% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=13, mult=1.6 |
16.9% | -86.4% | 0.38 | 0.20 | 42.8x | 128 | 47% |
| ADX / DI 방향성 period=30, threshold=16 |
17.6% | -82.4% | 0.38 | 0.21 | 50.1x | 130 | 33% |
| Parabolic SAR step=0.03, maxStep=0.34 |
4.4% | -85.1% | 0.36 | 0.05 | 2.8x | 638 | 53% |
| Buy and hold | 29.3% | -95.3% | 0.52 | 0.31 | 490.6x | 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) — 29-day volatility, 2.4× band
- Sell — Sell when price drops below the trend line (flips down)