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; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 20.9%, drawdown -69.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.0%, MDD -52.0%, Sharpe 0.50, 52% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 20.0%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=64, slow=133 |
11.0% | -52.0% | 0.50 | 0.21 | 12.1x | 39 | 52% |
| EMA 크로스오버 fast=38, slow=219 |
10.8% | -49.5% | 0.48 | 0.22 | 11.8x | 21 | 56% |
| ROC 모멘텀 n=137, threshold=0 |
9.4% | -50.3% | 0.45 | 0.19 | 8.7x | 129 | 54% |
| Supertrend period=10, mult=4.6 |
6.4% | -69.6% | 0.36 | 0.09 | 4.5x | 46 | 55% |
| ADX / DI 방향성 period=37, threshold=22 |
5.6% | -43.6% | 0.36 | 0.13 | 3.7x | 46 | 23% |
| Donchian 채널 돌파 entryN=31, exitN=61 |
20.0% | -63.1% | 0.35 | 0.32 | 78.9x | 32 | 82% |
| MACD fast=12, slow=26, signal=14 |
12.1% | -54.0% | 0.27 | 0.22 | 15.5x | 291 | 58% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=20, mult=1.1 |
6.9% | -61.0% | 0.22 | 0.11 | 5.0x | 174 | 45% |
| Parabolic SAR step=0.03, maxStep=0.24 |
-0.8% | -85.6% | 0.15 | -0.01 | 0.8x | 531 | 60% |
| 볼린저 밴드 돌파 n=31, k=1.1 |
0.7% | -57.4% | 0.15 | 0.01 | 1.2x | 196 | 37% |
| Buy and hold | 20.9% | -69.4% | 0.36 | 0.30 | 94.7x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 64-day average price crosses above the 133-day average
- Sell — Sell (to cash) when the 64-day average falls below the 133-day average