Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Timken India Limited backtest
10 trend-following strategies were compared on the full daily history of Timken India Limited. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 20.7%, drawdown -69.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.5%, MDD -50.7%, Sharpe 0.48, 56% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 19.0%, MDD -63.1%, exposure 82%.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=48, slow=194 |
10.5% | -50.7% | 0.48 | 0.21 | 11.1x | 22 | 56% |
| SMA 크로스오버 fast=32, slow=175 |
10.2% | -50.1% | 0.47 | 0.20 | 10.5x | 34 | 53% |
| ROC 모멘텀 n=147, threshold=0 |
7.9% | -54.9% | 0.40 | 0.14 | 6.3x | 140 | 55% |
| ADX / DI 방향성 period=35, threshold=22 |
6.0% | -46.7% | 0.38 | 0.13 | 4.0x | 50 | 24% |
| Supertrend period=12, mult=4.9 |
6.7% | -70.4% | 0.37 | 0.10 | 4.8x | 42 | 55% |
| Donchian 채널 돌파 entryN=29, exitN=61 |
19.0% | -63.1% | 0.34 | 0.30 | 66.2x | 34 | 82% |
| MACD fast=12, slow=30, signal=13 |
11.9% | -55.0% | 0.27 | 0.22 | 15.1x | 291 | 59% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=17, mult=0.9 |
3.0% | -54.9% | 0.24 | 0.05 | 2.0x | 164 | 41% |
| Parabolic SAR step=0.01, maxStep=0.38 |
1.7% | -48.5% | 0.20 | 0.04 | 1.5x | 264 | 44% |
| 볼린저 밴드 돌파 n=32, k=1.5 |
0.6% | -58.9% | 0.15 | 0.01 | 1.2x | 172 | 35% |
| Buy and hold | 20.7% | -69.4% | 0.36 | 0.30 | 94.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 48-day EMA crosses above the 194-day EMA
- Sell — Sell when the 48-day EMA falls below the 194-day EMA