Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Usha Martin Limited backtest
10 trend-following strategies were compared on the full daily history of Usha Martin Limited. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 25.7%, MDD -60.4%).
Results by strategy
6 of 10 beat buy and hold (CAGR 20.6%, drawdown -95.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 25.7%, MDD -60.4%, Sharpe 0.76, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.1%p higher than buy and hold, while drawdown improves by 35.0%p (CAGR 25.7%, MDD -60.4%, exposure 60%).
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=49, slow=206 |
25.7% | -60.4% | 0.76 | 0.43 | 289.4x | 23 | 60% |
| Donchian 채널 돌파 entryN=31, exitN=68 |
25.7% | -67.8% | 0.74 | 0.38 | 288.9x | 39 | 73% |
| ROC 모멘텀 n=80, threshold=-0.03 |
24.6% | -71.8% | 0.73 | 0.34 | 231.4x | 215 | 63% |
| Parabolic SAR step=0.015, maxStep=0.04 |
21.9% | -61.3% | 0.71 | 0.36 | 135.4x | 249 | 50% |
| Supertrend period=9, mult=4.9 |
22.9% | -65.1% | 0.69 | 0.35 | 164.7x | 53 | 66% |
| 볼린저 밴드 돌파 n=26, k=1.9 |
19.3% | -51.0% | 0.69 | 0.38 | 78.0x | 186 | 35% |
| EMA 크로스오버 fast=45, slow=164 |
22.0% | -71.7% | 0.68 | 0.31 | 138.2x | 29 | 63% |
| ADX / DI 방향성 period=11, threshold=24 |
17.9% | -64.3% | 0.64 | 0.28 | 59.2x | 308 | 40% |
| MACD fast=19, slow=52, signal=19 |
19.0% | -59.7% | 0.64 | 0.32 | 74.6x | 233 | 50% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=11, mult=1.2 |
13.2% | -67.7% | 0.53 | 0.19 | 21.4x | 206 | 41% |
| Buy and hold | 20.6% | -95.4% | 0.62 | 0.22 | 103.2x | 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 49-day average price crosses above the 206-day average
- Sell — Sell (to cash) when the 49-day average falls below the 206-day average