Trend-Following Backtester · Guide · backtest 한국어
equity · IN
TD Power Systems Limited backtest
10 trend-following strategies were compared on the full daily history of TD Power Systems Limited. 2 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 25.6%, MDD -47.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 24.9%, drawdown -83.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 25.6%, MDD -47.5%, Sharpe 0.84, 54% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 36.1%p (CAGR 25.6%, MDD -47.5%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=153, threshold=0.07 |
25.6% | -47.5% | 0.84 | 0.54 | 30.5x | 61 | 54% |
| SMA 크로스오버 fast=47, slow=282 |
25.4% | -74.9% | 0.82 | 0.34 | 29.6x | 9 | 55% |
| Donchian 채널 돌파 entryN=37, exitN=73 |
24.2% | -74.3% | 0.77 | 0.33 | 25.6x | 19 | 66% |
| EMA 크로스오버 fast=7, slow=113 |
22.4% | -73.9% | 0.75 | 0.30 | 20.8x | 53 | 57% |
| Supertrend period=34, mult=4.9 |
19.4% | -60.9% | 0.68 | 0.32 | 14.2x | 25 | 61% |
| 볼린저 밴드 돌파 n=46, k=3.3 |
8.2% | -52.2% | 0.45 | 0.16 | 3.2x | 37 | 24% |
| ADX / DI 방향성 period=39, threshold=16 |
8.6% | -39.2% | 0.44 | 0.22 | 3.4x | 57 | 33% |
| Parabolic SAR step=0.05, maxStep=0.18 |
7.3% | -73.7% | 0.38 | 0.10 | 2.9x | 494 | 48% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=17, mult=3.6 |
3.4% | -42.2% | 0.27 | 0.08 | 1.7x | 25 | 14% |
| MACD fast=14, slow=30, signal=13 |
1.3% | -80.8% | 0.20 | 0.02 | 1.2x | 229 | 48% |
| Buy and hold | 24.9% | -83.6% | 0.73 | 0.30 | 28.1x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 153-day return is greater than 7%
- Sell — Sell when the 153-day return drops to 7% or below