Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Sterlite Technologies Limited backtest
10 trend-following strategies were compared on the full daily history of Sterlite Technologies Limited. 10 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 22.5%, MDD -35.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR 5.3%, drawdown -97.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 22.5%, MDD -35.9%, Sharpe 0.90, 21% exposure.
CAGR reference leader: Supertrend — CAGR 25.5%, MDD -75.2%, exposure 48%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 17.2%p higher than buy and hold, while drawdown improves by 61.6%p (CAGR 22.5%, MDD -35.9%, exposure 21%).
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=58, k=3.1 |
22.5% | -35.9% | 0.90 | 0.63 | 185.0x | 34 | 21% |
| Donchian 채널 돌파 entryN=65, exitN=21 |
22.2% | -46.3% | 0.82 | 0.48 | 174.1x | 59 | 31% |
| Supertrend period=23, mult=2.8 |
25.5% | -75.2% | 0.80 | 0.34 | 342.0x | 151 | 48% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=10, mult=2.3 |
22.2% | -54.4% | 0.79 | 0.41 | 173.1x | 93 | 32% |
| EMA 크로스오버 fast=72, slow=172 |
25.1% | -57.8% | 0.78 | 0.44 | 321.0x | 17 | 49% |
| ROC 모멘텀 n=101, threshold=0.13 |
22.3% | -61.7% | 0.77 | 0.36 | 178.7x | 183 | 36% |
| ADX / DI 방향성 period=37, threshold=15 |
20.5% | -60.4% | 0.75 | 0.34 | 120.4x | 103 | 32% |
| SMA 크로스오버 fast=12, slow=139 |
22.6% | -57.8% | 0.73 | 0.39 | 189.9x | 65 | 48% |
| Parabolic SAR step=0.005, maxStep=0.2 |
14.4% | -84.8% | 0.55 | 0.17 | 32.0x | 203 | 48% |
| MACD fast=8, slow=29, signal=12 |
13.4% | -85.6% | 0.52 | 0.16 | 25.2x | 465 | 49% |
| Buy and hold | 5.3% | -97.6% | 0.37 | 0.05 | 3.8x | 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 58-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 58-day middle average