Trend-Following Backtester · Guide · backtest 한국어
equity · IN
V-Guard Industries Limited backtest
10 trend-following strategies were compared on the full daily history of V-Guard Industries Limited. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 25.0%, MDD -29.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 24.0%, drawdown -47.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 25.0%, MDD -29.7%, Sharpe 1.04, 56% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 18.0%p (CAGR 25.0%, MDD -29.7%, exposure 56%).
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=75, slow=107 |
25.0% | -29.7% | 1.04 | 0.84 | 63.0x | 47 | 56% |
| ROC 모멘텀 n=117, threshold=-0.04 |
24.9% | -37.8% | 0.96 | 0.66 | 61.7x | 108 | 69% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=23, mult=3.1 |
18.6% | -27.9% | 0.96 | 0.67 | 23.8x | 34 | 27% |
| 볼린저 밴드 돌파 n=57, k=2.6 |
18.1% | -28.0% | 0.92 | 0.65 | 21.7x | 42 | 29% |
| Donchian 채널 돌파 entryN=52, exitN=67 |
23.0% | -37.9% | 0.92 | 0.61 | 46.5x | 20 | 67% |
| Supertrend period=20, mult=4.2 |
21.9% | -42.2% | 0.91 | 0.52 | 39.1x | 43 | 61% |
| EMA 크로스오버 fast=38, slow=152 |
22.4% | -41.1% | 0.89 | 0.55 | 42.5x | 26 | 65% |
| ADX / DI 방향성 period=29, threshold=19 |
15.1% | -33.6% | 0.81 | 0.45 | 13.6x | 71 | 31% |
| Parabolic SAR step=0.005, maxStep=0.08 |
15.8% | -43.3% | 0.73 | 0.36 | 15.1x | 134 | 52% |
| MACD fast=19, slow=46, signal=13 |
13.5% | -49.7% | 0.67 | 0.27 | 10.4x | 200 | 49% |
| Buy and hold | 24.0% | -47.6% | 0.84 | 0.50 | 54.3x | 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 75-day average price crosses above the 107-day average
- Sell — Sell (to cash) when the 75-day average falls below the 107-day average