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. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 21.1%, MDD -51.4%).
Results by strategy
5 of 10 beat buy and hold (CAGR 20.7%, drawdown -95.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 25.9%, MDD -60.4%, Sharpe 0.76, 59% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 26.0%, MDD -69.0%, exposure 75%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.2%p higher than buy and hold, while drawdown improves by 35.0%p (CAGR 21.1%, MDD -51.4%, exposure 38%).
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 |
25.9% | -60.4% | 0.76 | 0.43 | 287.9x | 23 | 59% |
| Donchian 채널 돌파 entryN=29, exitN=74 |
26.0% | -69.0% | 0.74 | 0.38 | 291.0x | 39 | 75% |
| 볼린저 밴드 돌파 n=26, k=1.6 |
21.1% | -51.4% | 0.72 | 0.41 | 110.4x | 208 | 38% |
| ROC 모멘텀 n=136, threshold=-0.01 |
22.1% | -59.4% | 0.69 | 0.37 | 136.4x | 161 | 61% |
| EMA 크로스오버 fast=31, slow=97 |
21.8% | -54.9% | 0.68 | 0.40 | 127.3x | 55 | 60% |
| MACD fast=27, slow=68, signal=18 |
20.4% | -66.0% | 0.67 | 0.31 | 95.4x | 190 | 49% |
| Supertrend period=12, mult=1.8 |
19.4% | -64.9% | 0.66 | 0.30 | 78.3x | 251 | 48% |
| ADX / DI 방향성 period=10, threshold=25 |
17.2% | -65.0% | 0.63 | 0.27 | 49.7x | 344 | 40% |
| Parabolic SAR step=0.005, maxStep=0.14 |
14.3% | -68.6% | 0.54 | 0.21 | 26.9x | 193 | 50% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=8, mult=1.3 |
13.0% | -63.2% | 0.52 | 0.21 | 20.2x | 179 | 41% |
| Buy and hold | 20.7% | -95.4% | 0.62 | 0.22 | 102.6x | 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