Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Sundram Fasteners Limited backtest
10 trend-following strategies were compared on the full daily history of Sundram Fasteners Limited. 4 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 18.5%, MDD -40.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR 19.7%, drawdown -85.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 18.5%, MDD -40.1%, Sharpe 0.87, 37% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 23.7%, MDD -62.7%, exposure 59%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.2%p lower than buy and hold, while drawdown improves by 45.3%p (CAGR 18.5%, MDD -40.1%, exposure 37%).
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=56, k=2.4 |
18.5% | -40.1% | 0.87 | 0.46 | 60.8x | 69 | 37% |
| Supertrend period=13, mult=3.3 |
20.5% | -48.8% | 0.82 | 0.42 | 90.9x | 83 | 59% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=24, mult=2.7 |
17.1% | -44.0% | 0.82 | 0.39 | 45.6x | 67 | 36% |
| Donchian 채널 돌파 entryN=11, exitN=57 |
22.7% | -80.2% | 0.79 | 0.28 | 139.4x | 63 | 79% |
| SMA 크로스오버 fast=27, slow=111 |
23.7% | -62.7% | 0.76 | 0.38 | 172.1x | 49 | 59% |
| EMA 크로스오버 fast=38, slow=61 |
22.3% | -59.0% | 0.73 | 0.38 | 130.0x | 59 | 61% |
| ROC 모멘텀 n=82, threshold=-0.04 |
18.3% | -65.8% | 0.71 | 0.28 | 58.6x | 177 | 65% |
| MACD fast=38, slow=45, signal=29 |
15.6% | -53.6% | 0.68 | 0.29 | 33.0x | 157 | 52% |
| ADX / DI 방향성 period=37, threshold=17 |
14.3% | -75.8% | 0.66 | 0.19 | 25.4x | 83 | 39% |
| Parabolic SAR step=0.005, maxStep=0.3 |
10.9% | -69.0% | 0.52 | 0.16 | 12.3x | 199 | 54% |
| Buy and hold | 19.7% | -85.5% | 0.62 | 0.23 | 77.9x | 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 56-day average (2.4× volatility)
- Sell — Sell when the close falls back to the 56-day middle average