Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Tata Communications Limited backtest
10 trend-following strategies were compared on the full daily history of Tata Communications Limited. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 13.5%, MDD -60.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 13.0%, drawdown -81.2%).
Sharpe leader (same as main): Supertrend — CAGR 13.5%, MDD -60.9%, Sharpe 0.56, 50% exposure.
Return/drawdown alternative: Supertrend — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 20.4%p (CAGR 13.5%, MDD -60.9%, exposure 50%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=25, mult=2.7 |
13.5% | -60.9% | 0.56 | 0.22 | 21.0x | 148 | 50% |
| 볼린저 밴드 돌파 n=14, k=2.8 |
7.8% | -51.0% | 0.47 | 0.15 | 6.0x | 76 | 10% |
| Donchian 채널 돌파 entryN=12, exitN=35 |
9.7% | -85.3% | 0.44 | 0.11 | 9.4x | 110 | 71% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=25, mult=2.7 |
7.8% | -67.3% | 0.42 | 0.12 | 6.0x | 78 | 23% |
| MACD fast=22, slow=40, signal=8 |
7.1% | -76.2% | 0.37 | 0.09 | 5.2x | 328 | 49% |
| EMA 크로스오버 fast=6, slow=155 |
6.4% | -90.3% | 0.35 | 0.07 | 4.4x | 103 | 59% |
| SMA 크로스오버 fast=28, slow=59 |
6.3% | -83.4% | 0.35 | 0.08 | 4.4x | 112 | 54% |
| ADX / DI 방향성 period=17, threshold=27 |
5.1% | -66.9% | 0.33 | 0.08 | 3.3x | 90 | 16% |
| Parabolic SAR step=0.015, maxStep=0.14 |
4.2% | -86.1% | 0.29 | 0.05 | 2.7x | 412 | 52% |
| ROC 모멘텀 n=72, threshold=-0.01 |
3.5% | -87.7% | 0.27 | 0.04 | 2.3x | 299 | 56% |
| Buy and hold | 13.0% | -81.2% | 0.50 | 0.16 | 18.8x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 25-day volatility, 2.7× band
- Sell — Sell when price drops below the trend line (flips down)