Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Steel Strips Wheels Ltd backtest
10 trend-following strategies were compared on the full daily history of Steel Strips Wheels Ltd. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 20.0%, MDD -52.1%).
Results by strategy
6 of 10 beat buy and hold (CAGR 16.2%, drawdown -85.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 21.8%, MDD -65.5%, Sharpe 0.78, 49% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 5.6%p higher than buy and hold, while drawdown improves by 20.1%p (CAGR 20.0%, MDD -52.1%, exposure 40%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=52, slow=127 |
21.8% | -65.5% | 0.78 | 0.33 | 65.0x | 41 | 49% |
| ROC 모멘텀 n=148, threshold=0.12 |
20.0% | -52.1% | 0.78 | 0.38 | 47.0x | 91 | 40% |
| Donchian 채널 돌파 entryN=80, exitN=72 |
21.1% | -54.6% | 0.77 | 0.39 | 57.3x | 21 | 45% |
| EMA 크로스오버 fast=59, slow=107 |
20.1% | -61.4% | 0.75 | 0.33 | 48.5x | 31 | 49% |
| 볼린저 밴드 돌파 n=57, k=1.4 |
17.6% | -56.6% | 0.72 | 0.31 | 30.7x | 83 | 36% |
| Supertrend period=14, mult=3.9 |
18.9% | -74.4% | 0.70 | 0.25 | 39.1x | 61 | 51% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=18, mult=1.9 |
13.6% | -56.4% | 0.61 | 0.24 | 14.9x | 79 | 34% |
| Parabolic SAR step=0.005, maxStep=0.24 |
13.7% | -66.9% | 0.56 | 0.21 | 15.2x | 157 | 54% |
| ADX / DI 방향성 period=27, threshold=21 |
8.8% | -59.6% | 0.46 | 0.15 | 6.0x | 83 | 30% |
| MACD fast=11, slow=49, signal=8 |
2.7% | -80.9% | 0.24 | 0.03 | 1.7x | 375 | 48% |
| Buy and hold | 16.2% | -85.6% | 0.56 | 0.19 | 24.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 52-day average price crosses above the 127-day average
- Sell — Sell (to cash) when the 52-day average falls below the 127-day average