Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Tourism Finance Corporation of India Limited backtest
10 trend-following strategies were compared on the full daily history of Tourism Finance Corporation of India Limited. 3 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
3 of 10 beat buy and hold (CAGR 18.1%, drawdown -91.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 11.0%, MDD -89.1%, Sharpe 0.51, 45% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 24.2%, MDD -87.5%, exposure 54%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=119, threshold=0.12 |
11.0% | -89.1% | 0.51 | 0.12 | 12.5x | 175 | 45% |
| SMA 크로스오버 fast=52, slow=122 |
11.0% | -92.1% | 0.51 | 0.12 | 12.7x | 47 | 54% |
| EMA 크로스오버 fast=50, slow=78 |
24.2% | -87.5% | 0.47 | 0.28 | 192.7x | 47 | 54% |
| Supertrend period=5, mult=1.4 |
8.9% | -92.1% | 0.47 | 0.10 | 7.9x | 357 | 47% |
| Donchian 채널 돌파 entryN=77, exitN=62 |
22.0% | -87.1% | 0.44 | 0.25 | 125.0x | 29 | 50% |
| MACD fast=19, slow=44, signal=19 |
19.5% | -88.2% | 0.42 | 0.22 | 75.8x | 218 | 52% |
| 볼린저 밴드 돌파 n=29, k=0.3 |
16.0% | -88.1% | 0.39 | 0.18 | 36.9x | 356 | 49% |
| ADX / DI 방향성 period=38, threshold=19 |
7.3% | -72.0% | 0.38 | 0.10 | 5.5x | 69 | 31% |
| Parabolic SAR step=0.01, maxStep=0.04 |
14.5% | -83.3% | 0.37 | 0.17 | 26.4x | 227 | 50% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=21, mult=1.3 |
9.3% | -91.5% | 0.32 | 0.10 | 8.7x | 201 | 39% |
| Buy and hold | 18.1% | -91.7% | 0.44 | 0.20 | 56.9x | 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 119-day return is greater than 12%
- Sell — Sell when the 119-day return drops to 12% or below