Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Tilaknagar Industries Limited backtest
10 trend-following strategies were compared on the full daily history of Tilaknagar Industries Limited. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 15.6%, MDD -50.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 15.3%, drawdown -91.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 17.6%, MDD -65.0%, Sharpe 0.64, 54% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 26.8%p (CAGR 15.6%, MDD -50.5%, exposure 33%).
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=76, slow=144 |
17.6% | -65.0% | 0.64 | 0.27 | 13.6x | 15 | 54% |
| Supertrend period=12, mult=2.5 |
17.4% | -70.7% | 0.62 | 0.25 | 13.4x | 107 | 51% |
| 볼린저 밴드 돌파 n=27, k=1.8 |
15.6% | -50.5% | 0.62 | 0.31 | 10.4x | 117 | 33% |
| ROC 모멘텀 n=66, threshold=0.05 |
15.7% | -66.6% | 0.59 | 0.24 | 10.4x | 163 | 42% |
| SMA 크로스오버 fast=46, slow=213 |
15.2% | -63.5% | 0.59 | 0.24 | 9.8x | 21 | 51% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=10, mult=1.4 |
12.2% | -46.4% | 0.58 | 0.26 | 6.4x | 126 | 19% |
| MACD fast=16, slow=17, signal=9 |
14.1% | -63.2% | 0.54 | 0.22 | 8.4x | 288 | 47% |
| Donchian 채널 돌파 entryN=104, exitN=62 |
12.2% | -73.1% | 0.52 | 0.17 | 6.4x | 21 | 40% |
| Parabolic SAR step=0.035, maxStep=0.3 |
6.6% | -72.3% | 0.36 | 0.09 | 2.8x | 446 | 46% |
| ADX / DI 방향성 period=11, threshold=37 |
4.0% | -56.0% | 0.29 | 0.07 | 1.9x | 77 | 14% |
| Buy and hold | 15.3% | -91.7% | 0.53 | 0.17 | 10.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 76-day EMA crosses above the 144-day EMA
- Sell — Sell when the 76-day EMA falls below the 144-day EMA