Trend-Following Backtester · Guide · backtest 한국어
equity · IN
ZF Commercial Vehicle Control Systems India Limited backtest
10 trend-following strategies were compared on the full daily history of ZF Commercial Vehicle Control Systems India Limited. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 20.7%, MDD -42.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR 11.8%, drawdown -98.8%).
Sharpe leader (same as main): Supertrend — CAGR 24.7%, MDD -43.5%, Sharpe 0.97, 65% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 12.9%p higher than buy and hold, while drawdown improves by 55.2%p (CAGR 20.7%, MDD -42.1%, exposure 64%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=12, mult=4.1 |
24.7% | -43.5% | 0.97 | 0.57 | 201.5x | 55 | 65% |
| SMA 크로스오버 fast=24, slow=117 |
20.7% | -42.1% | 0.84 | 0.49 | 92.9x | 53 | 64% |
| EMA 크로스오버 fast=50, slow=85 |
18.8% | -52.0% | 0.79 | 0.36 | 63.6x | 43 | 65% |
| Donchian 채널 돌파 entryN=75, exitN=30 |
17.0% | -54.2% | 0.79 | 0.31 | 43.3x | 48 | 47% |
| ADX / DI 방향성 period=32, threshold=24 |
13.8% | -47.1% | 0.76 | 0.29 | 22.4x | 69 | 29% |
| ROC 모멘텀 n=121, threshold=-0.01 |
18.3% | -57.8% | 0.76 | 0.32 | 57.2x | 157 | 68% |
| 볼린저 밴드 돌파 n=54, k=2 |
16.1% | -42.9% | 0.76 | 0.37 | 36.2x | 106 | 44% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=20, mult=1.3 |
15.4% | -62.8% | 0.72 | 0.24 | 31.2x | 145 | 48% |
| Parabolic SAR step=0.005, maxStep=0.16 |
8.0% | -71.6% | 0.43 | 0.11 | 6.3x | 185 | 57% |
| MACD fast=11, slow=55, signal=17 |
2.3% | -85.2% | 0.25 | 0.03 | 1.7x | 313 | 50% |
| Buy and hold | 11.8% | -98.8% | 0.51 | 0.12 | 14.5x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 12-day volatility, 4.1× band
- Sell — Sell when price drops below the trend line (flips down)