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 22.6%, MDD -35.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR 4.2%, drawdown -97.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 22.6%, MDD -35.9%, Sharpe 0.90, 21% exposure.
CAGR reference leader: Supertrend — CAGR 24.7%, MDD -75.2%, exposure 48%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 18.3%p higher than buy and hold, while drawdown improves by 61.6%p (CAGR 22.6%, 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 |
22.6% | -35.9% | 0.90 | 0.63 | 185.0x | 34 | 21% |
| Donchian 채널 돌파 entryN=65, exitN=21 |
22.1% | -46.3% | 0.81 | 0.48 | 167.1x | 58 | 31% |
| Supertrend period=23, mult=2.8 |
24.7% | -75.2% | 0.78 | 0.33 | 285.2x | 150 | 48% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=10, mult=2.3 |
21.6% | -54.4% | 0.78 | 0.40 | 151.5x | 92 | 32% |
| EMA 크로스오버 fast=72, slow=172 |
23.9% | -57.8% | 0.76 | 0.41 | 245.4x | 17 | 48% |
| ROC 모멘텀 n=101, threshold=0.13 |
21.1% | -61.7% | 0.74 | 0.34 | 136.6x | 183 | 36% |
| ADX / DI 방향성 period=37, threshold=15 |
19.3% | -60.4% | 0.72 | 0.32 | 92.5x | 102 | 32% |
| SMA 크로스오버 fast=12, slow=139 |
21.4% | -57.8% | 0.70 | 0.37 | 145.2x | 65 | 48% |
| Parabolic SAR step=0.005, maxStep=0.2 |
13.9% | -84.8% | 0.54 | 0.16 | 28.1x | 202 | 48% |
| MACD fast=8, slow=29, signal=12 |
12.8% | -85.6% | 0.50 | 0.15 | 21.9x | 462 | 49% |
| Buy and hold | 4.2% | -97.6% | 0.36 | 0.04 | 2.9x | 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