Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Gujarat Fluorochemicals Ltd. backtest
10 trend-following strategies were compared on the full daily history of Gujarat Fluorochemicals Ltd.. 5 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 33.1%, MDD -22.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR 30.5%, drawdown -66.9%).
Sharpe leader (same as main): MACD — CAGR 32.2%, MDD -35.1%, Sharpe 1.19, 49% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 37.5%, MDD -33.2%, exposure 58%.
Return/drawdown alternative: Parabolic SAR — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 31.9%p (CAGR 33.1%, MDD -22.5%, exposure 52%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=11, slow=25, signal=6 |
32.2% | -35.1% | 1.19 | 0.92 | 6.6x | 130 | 49% |
| SMA 크로스오버 fast=39, slow=53 |
37.5% | -33.2% | 1.17 | 1.13 | 8.7x | 37 | 58% |
| ROC 모멘텀 n=74, threshold=0.04 |
35.2% | -31.8% | 1.17 | 1.11 | 7.7x | 63 | 50% |
| Parabolic SAR step=0.015, maxStep=0.18 |
33.1% | -22.5% | 1.16 | 1.47 | 7.0x | 120 | 52% |
| 볼린저 밴드 돌파 n=59, k=2 |
30.2% | -27.3% | 1.15 | 1.11 | 6.0x | 17 | 36% |
| ADX / DI 방향성 period=42, threshold=26 |
19.5% | -19.1% | 1.14 | 1.02 | 3.4x | 4 | 11% |
| Supertrend period=31, mult=5 |
32.5% | -46.9% | 1.06 | 0.69 | 6.8x | 17 | 58% |
| Donchian 채널 돌파 entryN=50, exitN=41 |
30.3% | -31.6% | 1.05 | 0.96 | 6.0x | 15 | 49% |
| EMA 크로스오버 fast=43, slow=76 |
28.8% | -55.5% | 0.98 | 0.52 | 5.6x | 17 | 57% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=23, mult=3.4 |
24.0% | -24.8% | 0.97 | 0.96 | 4.3x | 15 | 33% |
| Buy and hold | 30.5% | -66.9% | 0.86 | 0.46 | 6.1x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (11/25) crosses above its 6-day signal line
- Sell — Sell when the MACD line crosses back below the signal line