Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Tata Consumer Products Limited backtest
10 trend-following strategies were compared on the full daily history of Tata Consumer Products Limited. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 9.6%, MDD -56.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.7%, drawdown -81.9%).
Sharpe leader (same as main): Supertrend — CAGR 9.6%, MDD -56.7%, Sharpe 0.50, 52% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 10.4%, MDD -66.7%, exposure 81%.
Return/drawdown alternative: Supertrend — CAGR is 3.1%p lower than buy and hold, while drawdown improves by 25.3%p (CAGR 9.6%, MDD -56.7%, exposure 52%).
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=19, mult=2.5 |
9.6% | -56.7% | 0.50 | 0.17 | 16.4x | 228 | 52% |
| SMA 크로스오버 fast=41, slow=196 |
10.2% | -65.5% | 0.49 | 0.16 | 19.2x | 46 | 61% |
| Donchian 채널 돌파 entryN=11, exitN=69 |
10.4% | -66.7% | 0.48 | 0.16 | 20.5x | 89 | 81% |
| EMA 크로스오버 fast=57, slow=193 |
8.7% | -57.6% | 0.44 | 0.15 | 12.6x | 40 | 62% |
| 볼린저 밴드 돌파 n=27, k=2 |
7.1% | -44.5% | 0.44 | 0.16 | 8.0x | 226 | 35% |
| ROC 모멘텀 n=126, threshold=-0.03 |
8.3% | -66.4% | 0.43 | 0.12 | 11.4x | 200 | 65% |
| ADX / DI 방향성 period=34, threshold=12 |
6.5% | -60.3% | 0.40 | 0.11 | 6.9x | 252 | 42% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=11, mult=1.5 |
5.4% | -61.2% | 0.35 | 0.09 | 5.0x | 218 | 41% |
| Parabolic SAR step=0.005, maxStep=0.1 |
4.4% | -65.6% | 0.30 | 0.07 | 3.8x | 264 | 51% |
| MACD fast=19, slow=44, signal=16 |
3.4% | -66.2% | 0.26 | 0.05 | 2.8x | 343 | 51% |
| Buy and hold | 12.7% | -81.9% | 0.52 | 0.16 | 38.8x | 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) — 19-day volatility, 2.5× band
- Sell — Sell when price drops below the trend line (flips down)