Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Triveni Turbine Limited backtest
10 trend-following strategies were compared on the full daily history of Triveni Turbine Limited. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 17.1%, MDD -43.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 20.2%, drawdown -68.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 17.1%, MDD -43.8%, Sharpe 0.64, 58% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.1%p lower than buy and hold, while drawdown improves by 25.0%p (CAGR 17.1%, MDD -43.8%, exposure 58%).
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=29, slow=211 |
17.1% | -43.8% | 0.64 | 0.39 | 10.4x | 17 | 58% |
| EMA 크로스오버 fast=35, slow=128 |
15.3% | -52.7% | 0.59 | 0.29 | 8.3x | 27 | 60% |
| Donchian 채널 돌파 entryN=88, exitN=61 |
11.6% | -39.2% | 0.52 | 0.29 | 5.1x | 18 | 50% |
| ROC 모멘텀 n=139, threshold=0 |
11.6% | -64.6% | 0.50 | 0.18 | 5.1x | 131 | 61% |
| 볼린저 밴드 돌파 n=82, k=2.7 |
9.6% | -30.0% | 0.49 | 0.32 | 3.9x | 24 | 31% |
| Supertrend period=24, mult=4.1 |
11.1% | -65.5% | 0.48 | 0.17 | 4.8x | 36 | 66% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=23, mult=3.6 |
5.5% | -41.2% | 0.34 | 0.13 | 2.2x | 28 | 28% |
| ADX / DI 방향성 period=39, threshold=25 |
3.4% | -26.4% | 0.29 | 0.13 | 1.6x | 16 | 13% |
| MACD fast=12, slow=57, signal=18 |
2.3% | -52.6% | 0.23 | 0.04 | 1.4x | 164 | 48% |
| Parabolic SAR step=0.015, maxStep=0.3 |
-7.0% | -77.7% | -0.07 | -0.09 | 0.3x | 248 | 49% |
| Buy and hold | 20.2% | -68.7% | 0.64 | 0.29 | 15.3x | 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 29-day average price crosses above the 211-day average
- Sell — Sell (to cash) when the 29-day average falls below the 211-day average