Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Thangamayil Jewellery Ltd. backtest
10 trend-following strategies were compared on the full daily history of Thangamayil Jewellery Ltd.. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 38.8%, MDD -39.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 35.5%, drawdown -67.7%).
Sharpe leader (same as main): Supertrend — CAGR 38.8%, MDD -39.6%, Sharpe 1.09, 62% exposure.
Return/drawdown alternative: Supertrend — CAGR is 3.3%p higher than buy and hold, while drawdown improves by 28.0%p (CAGR 38.8%, MDD -39.6%, exposure 62%).
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=9, mult=4.7 |
38.8% | -39.6% | 1.09 | 0.98 | 226.3x | 24 | 62% |
| EMA 크로스오버 fast=35, slow=51 |
32.1% | -52.5% | 0.97 | 0.61 | 99.9x | 43 | 56% |
| SMA 크로스오버 fast=13, slow=100 |
30.0% | -52.2% | 0.93 | 0.58 | 76.8x | 49 | 54% |
| Donchian 채널 돌파 entryN=45, exitN=58 |
30.2% | -51.2% | 0.91 | 0.59 | 78.1x | 23 | 61% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=24, mult=2.4 |
22.0% | -37.0% | 0.85 | 0.59 | 26.8x | 50 | 34% |
| 볼린저 밴드 돌파 n=59, k=2 |
22.0% | -41.9% | 0.81 | 0.53 | 26.8x | 64 | 39% |
| ROC 모멘텀 n=91, threshold=-0.02 |
24.7% | -60.4% | 0.80 | 0.41 | 38.5x | 135 | 62% |
| ADX / DI 방향성 period=26, threshold=23 |
17.9% | -39.0% | 0.74 | 0.46 | 15.2x | 68 | 36% |
| Parabolic SAR step=0.005, maxStep=0.34 |
13.7% | -57.1% | 0.55 | 0.24 | 8.3x | 130 | 52% |
| MACD fast=16, slow=39, signal=16 |
11.2% | -55.7% | 0.48 | 0.20 | 5.8x | 196 | 49% |
| Buy and hold | 35.5% | -67.7% | 0.90 | 0.52 | 151.6x | 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) — 9-day volatility, 4.7× band
- Sell — Sell when price drops below the trend line (flips down)