Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Titagarh Rail Systems Ltd backtest
10 trend-following strategies were compared on the full daily history of Titagarh Rail Systems Ltd. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 32.8%, MDD -44.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR 20.0%, drawdown -91.5%).
Sharpe leader (same as main): MACD — CAGR 39.6%, MDD -53.4%, Sharpe 1.08, 52% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 19.6%p higher than buy and hold, while drawdown improves by 38.1%p (CAGR 32.8%, MDD -44.5%, exposure 45%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=18, slow=32, signal=23 |
39.6% | -53.4% | 1.08 | 0.74 | 469.2x | 156 | 52% |
| 볼린저 밴드 돌파 n=21, k=0.6 |
32.8% | -44.5% | 0.98 | 0.74 | 187.6x | 272 | 45% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=28, mult=1 |
29.9% | -48.2% | 0.93 | 0.62 | 125.1x | 150 | 41% |
| SMA 크로스오버 fast=13, slow=22 |
28.0% | -47.1% | 0.85 | 0.60 | 95.0x | 212 | 51% |
| EMA 크로스오버 fast=2, slow=28 |
27.0% | -55.8% | 0.83 | 0.48 | 82.2x | 278 | 53% |
| Donchian 채널 돌파 entryN=9, exitN=14 |
27.8% | -60.8% | 0.83 | 0.46 | 92.5x | 146 | 57% |
| Supertrend period=7, mult=2.9 |
26.6% | -49.1% | 0.81 | 0.54 | 77.2x | 105 | 53% |
| ROC 모멘텀 n=21, threshold=-0.04 |
27.1% | -64.5% | 0.81 | 0.42 | 83.1x | 327 | 63% |
| Parabolic SAR step=0.03, maxStep=0.16 |
24.6% | -61.3% | 0.79 | 0.40 | 57.9x | 422 | 49% |
| ADX / DI 방향성 period=9, threshold=26 |
20.6% | -48.1% | 0.73 | 0.43 | 31.9x | 280 | 36% |
| Buy and hold | 20.0% | -91.5% | 0.43 | 0.22 | 28.9x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (18/32) crosses above its 23-day signal line
- Sell — Sell when the MACD line crosses back below the signal line