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 23.1%, MDD -47.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 22.5%, drawdown -83.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 23.1%, MDD -47.5%, Sharpe 0.79, 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 23.1%, 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 |
23.1% | -47.5% | 0.79 | 0.49 | 22.2x | 61 | 54% |
| SMA 크로스오버 fast=47, slow=282 |
22.9% | -74.9% | 0.76 | 0.31 | 21.6x | 9 | 54% |
| Donchian 채널 돌파 entryN=37, exitN=73 |
21.7% | -74.3% | 0.72 | 0.29 | 18.6x | 19 | 66% |
| EMA 크로스오버 fast=7, slow=113 |
20.0% | -73.9% | 0.70 | 0.27 | 15.1x | 53 | 57% |
| Supertrend period=34, mult=4.9 |
19.2% | -60.9% | 0.67 | 0.31 | 13.6x | 24 | 61% |
| ADX / DI 방향성 period=39, threshold=16 |
8.8% | -39.2% | 0.45 | 0.22 | 3.5x | 56 | 33% |
| 볼린저 밴드 돌파 n=46, k=3.3 |
7.9% | -52.2% | 0.44 | 0.15 | 3.1x | 36 | 24% |
| Parabolic SAR step=0.05, maxStep=0.18 |
5.6% | -73.7% | 0.33 | 0.08 | 2.3x | 492 | 48% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=17, mult=3.6 |
3.2% | -42.2% | 0.26 | 0.07 | 1.6x | 24 | 13% |
| MACD fast=14, slow=30, signal=13 |
-0.4% | -80.8% | 0.15 | -0.00 | 0.9x | 228 | 48% |
| Buy and hold | 22.5% | -83.6% | 0.68 | 0.27 | 20.5x | 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