Trend-Following Backtester · Guide · backtest 한국어
equity · IN
TVS Holdings Limited backtest
10 trend-following strategies were compared on the full daily history of TVS Holdings Limited. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 32.5%, MDD -30.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR 23.2%, drawdown -96.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 39.0%, MDD -38.3%, Sharpe 1.24, 63% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 39.4%, MDD -46.8%, exposure 70%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 15.8%p higher than buy and hold, while drawdown improves by 58.2%p (CAGR 32.5%, MDD -30.0%, exposure 42%).
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=20, slow=125 |
39.0% | -38.3% | 1.24 | 1.02 | 2739.8x | 37 | 63% |
| Donchian 채널 돌파 entryN=45, exitN=67 |
39.4% | -46.8% | 1.22 | 0.84 | 2938.9x | 24 | 70% |
| 볼린저 밴드 돌파 n=38, k=1.8 |
32.5% | -30.0% | 1.21 | 1.08 | 870.3x | 130 | 42% |
| Supertrend period=13, mult=5 |
37.1% | -51.0% | 1.18 | 0.73 | 1963.6x | 31 | 65% |
| EMA 크로스오버 fast=49, slow=127 |
34.4% | -43.2% | 1.16 | 0.80 | 1226.0x | 25 | 65% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=16, mult=1.7 |
27.5% | -33.2% | 1.13 | 0.83 | 344.7x | 106 | 34% |
| ROC 모멘텀 n=129, threshold=-0.03 |
32.8% | -44.2% | 1.08 | 0.74 | 921.3x | 92 | 67% |
| ADX / DI 방향성 period=50, threshold=12 |
29.3% | -54.1% | 1.00 | 0.54 | 485.7x | 106 | 64% |
| MACD fast=22, slow=57, signal=14 |
19.4% | -77.4% | 0.76 | 0.25 | 70.9x | 224 | 51% |
| Parabolic SAR step=0.005, maxStep=0.32 |
17.8% | -82.7% | 0.74 | 0.22 | 51.8x | 176 | 51% |
| Buy and hold | 23.2% | -96.5% | 0.72 | 0.24 | 151.3x | 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 20-day average price crosses above the 125-day average
- Sell — Sell (to cash) when the 20-day average falls below the 125-day average