Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Tejas Networks Ltd. backtest
10 trend-following strategies were compared on the full daily history of Tejas Networks Ltd.. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 28.1%, MDD -31.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR 7.5%, drawdown -93.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 30.6%, MDD -39.5%, Sharpe 0.97, 47% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 23.1%p higher than buy and hold, while drawdown improves by 53.9%p (CAGR 28.1%, MDD -31.7%, exposure 44%).
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=9, slow=200 |
30.6% | -39.5% | 0.97 | 0.78 | 11.4x | 8 | 47% |
| Donchian 채널 돌파 entryN=91, exitN=36 |
26.8% | -45.9% | 0.94 | 0.58 | 8.7x | 12 | 37% |
| SMA 크로스오버 fast=47, slow=141 |
28.1% | -31.7% | 0.94 | 0.89 | 9.5x | 15 | 44% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=14, mult=4 |
22.7% | -35.9% | 0.93 | 0.63 | 6.4x | 14 | 23% |
| ROC 모멘텀 n=73, threshold=0.01 |
28.9% | -66.7% | 0.92 | 0.43 | 10.1x | 77 | 45% |
| 볼린저 밴드 돌파 n=58, k=1.6 |
27.1% | -44.6% | 0.92 | 0.61 | 8.8x | 28 | 35% |
| Supertrend period=13, mult=3.9 |
20.2% | -59.1% | 0.68 | 0.34 | 5.3x | 34 | 52% |
| ADX / DI 방향성 period=22, threshold=17 |
17.8% | -59.8% | 0.66 | 0.30 | 4.4x | 73 | 37% |
| Parabolic SAR step=0.01, maxStep=0.24 |
10.0% | -71.2% | 0.44 | 0.14 | 2.4x | 106 | 47% |
| MACD fast=7, slow=35, signal=6 |
8.1% | -69.5% | 0.39 | 0.12 | 2.0x | 218 | 47% |
| Buy and hold | 7.5% | -93.4% | 0.41 | 0.08 | 1.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 9-day EMA crosses above the 200-day EMA
- Sell — Sell when the 9-day EMA falls below the 200-day EMA