Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Tata Chemicals Limited backtest
10 trend-following strategies were compared on the full daily history of Tata Chemicals Limited. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 8.2%, MDD -46.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 6.8%, drawdown -88.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.2%, MDD -46.9%, Sharpe 0.43, 59% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 42.0%p (CAGR 8.2%, MDD -46.9%, exposure 59%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=59, slow=286 |
8.2% | -46.9% | 0.43 | 0.17 | 11.0x | 26 | 59% |
| Supertrend period=19, mult=2.6 |
7.3% | -60.2% | 0.40 | 0.12 | 8.6x | 224 | 50% |
| Donchian 채널 돌파 entryN=11, exitN=19 |
6.4% | -79.2% | 0.36 | 0.08 | 6.7x | 190 | 62% |
| ADX / DI 방향성 period=36, threshold=17 |
4.8% | -54.4% | 0.34 | 0.09 | 4.2x | 89 | 25% |
| Parabolic SAR step=0.01, maxStep=0.02 |
5.3% | -68.0% | 0.33 | 0.08 | 4.8x | 176 | 50% |
| MACD fast=18, slow=46, signal=15 |
4.4% | -67.7% | 0.30 | 0.07 | 3.8x | 344 | 50% |
| SMA 크로스오버 fast=59, slow=152 |
3.6% | -75.0% | 0.26 | 0.05 | 2.9x | 59 | 55% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=20, mult=0.7 |
3.4% | -71.1% | 0.26 | 0.05 | 2.8x | 326 | 47% |
| 볼린저 밴드 돌파 n=20, k=1.1 |
3.3% | -67.4% | 0.26 | 0.05 | 2.7x | 428 | 41% |
| ROC 모멘텀 n=147, threshold=0.02 |
2.7% | -61.5% | 0.23 | 0.04 | 2.2x | 244 | 53% |
| Buy and hold | 6.8% | -88.9% | 0.36 | 0.08 | 7.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 59-day EMA crosses above the 286-day EMA
- Sell — Sell when the 59-day EMA falls below the 286-day EMA