Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Astra Microwave Products Ltd. backtest
10 trend-following strategies were compared on the full daily history of Astra Microwave Products Ltd.. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 21.5%, drawdown -88.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 10.1%, MDD -44.3%, Sharpe 0.60, 14% exposure.
CAGR reference leader: MACD — CAGR 15.3%, MDD -79.6%, exposure 48%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=9, mult=3.6 |
10.1% | -44.3% | 0.60 | 0.23 | 8.1x | 33 | 14% |
| MACD fast=10, slow=43, signal=12 |
15.3% | -79.6% | 0.58 | 0.19 | 22.0x | 334 | 48% |
| Donchian 채널 돌파 entryN=118, exitN=12 |
9.8% | -50.0% | 0.57 | 0.20 | 7.6x | 43 | 16% |
| 볼린저 밴드 돌파 n=26, k=2.9 |
9.7% | -52.5% | 0.52 | 0.18 | 7.5x | 80 | 19% |
| ROC 모멘텀 n=29, threshold=-0.03 |
11.3% | -90.5% | 0.47 | 0.13 | 10.3x | 415 | 61% |
| EMA 크로스오버 fast=55, slow=69 |
10.0% | -75.8% | 0.45 | 0.13 | 7.9x | 57 | 52% |
| Parabolic SAR step=0.015, maxStep=0.14 |
9.0% | -88.5% | 0.42 | 0.10 | 6.5x | 339 | 49% |
| SMA 크로스오버 fast=33, slow=173 |
7.8% | -76.4% | 0.39 | 0.10 | 5.1x | 45 | 49% |
| ADX / DI 방향성 period=36, threshold=28 |
5.0% | -42.8% | 0.39 | 0.12 | 2.9x | 24 | 10% |
| Supertrend period=23, mult=2 |
6.8% | -89.2% | 0.36 | 0.08 | 4.2x | 232 | 44% |
| Buy and hold | 21.5% | -88.1% | 0.65 | 0.24 | 69.3x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 39-day average + 3.6× volatility (Keltner top)
- Sell — Sell when the close falls back to the 39-day average