Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Tata Motors Passenger Vehicles Ltd backtest
10 trend-following strategies were compared on the full daily history of Tata Motors Passenger Vehicles Ltd. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 14.5%, MDD -48.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR 8.0%, drawdown -89.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 14.5%, MDD -48.0%, Sharpe 0.69, 33% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 16.2%, MDD -63.9%, exposure 54%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.5%p higher than buy and hold, while drawdown improves by 41.5%p (CAGR 14.5%, MDD -48.0%, 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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=71, atrPeriod=28, mult=3.8 |
14.5% | -48.0% | 0.69 | 0.30 | 123.8x | 78 | 33% |
| EMA 크로스오버 fast=25, slow=147 |
16.2% | -63.9% | 0.66 | 0.25 | 211.8x | 56 | 54% |
| 볼린저 밴드 돌파 n=41, k=1.5 |
14.5% | -53.3% | 0.64 | 0.27 | 122.8x | 216 | 40% |
| SMA 크로스오버 fast=34, slow=272 |
14.8% | -56.5% | 0.62 | 0.26 | 134.4x | 32 | 54% |
| ADX / DI 방향성 period=39, threshold=10 |
14.1% | -52.0% | 0.61 | 0.27 | 108.0x | 308 | 44% |
| ROC 모멘텀 n=61, threshold=0.15 |
12.3% | -62.9% | 0.60 | 0.20 | 62.8x | 342 | 30% |
| Supertrend period=19, mult=4.3 |
14.6% | -71.8% | 0.60 | 0.20 | 128.4x | 132 | 51% |
| Parabolic SAR step=0.005, maxStep=0.02 |
14.4% | -69.9% | 0.60 | 0.21 | 121.4x | 174 | 53% |
| Donchian 채널 돌파 entryN=99, exitN=59 |
13.1% | -52.8% | 0.59 | 0.25 | 80.6x | 54 | 45% |
| MACD fast=11, slow=47, signal=11 |
12.0% | -72.8% | 0.52 | 0.16 | 55.8x | 519 | 52% |
| Buy and hold | 8.0% | -89.4% | 0.40 | 0.09 | 15.5x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 71-day average + 3.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 71-day average