Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Abbott India Limited backtest
10 trend-following strategies were compared on the full daily history of Abbott India Limited. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 20.8%, drawdown -33.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 13.5%, MDD -34.4%, Sharpe 0.76, 52% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 17.1%, MDD -32.1%, exposure 71%.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=38, slow=211 |
13.5% | -34.4% | 0.76 | 0.39 | 21.2x | 18 | 52% |
| SMA 크로스오버 fast=31, slow=195 |
12.5% | -34.9% | 0.73 | 0.36 | 17.1x | 23 | 49% |
| ADX / DI 방향성 period=67, threshold=17 |
9.7% | -28.3% | 0.71 | 0.34 | 9.4x | 20 | 22% |
| 볼린저 밴드 돌파 n=73, k=3 |
9.7% | -22.5% | 0.70 | 0.43 | 9.3x | 30 | 23% |
| Supertrend period=15, mult=2.8 |
10.1% | -34.3% | 0.64 | 0.29 | 10.2x | 86 | 44% |
| ROC 모멘텀 n=200, threshold=0.01 |
10.3% | -35.5% | 0.61 | 0.29 | 10.5x | 96 | 51% |
| Parabolic SAR step=0.005, maxStep=0.28 |
7.7% | -36.3% | 0.53 | 0.21 | 6.0x | 140 | 40% |
| Donchian 채널 돌파 entryN=99, exitN=63 |
17.1% | -32.1% | 0.50 | 0.53 | 44.9x | 17 | 71% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=28, mult=1.8 |
6.3% | -34.8% | 0.46 | 0.18 | 4.4x | 86 | 31% |
| MACD fast=12, slow=29, signal=23 |
4.2% | -37.3% | 0.35 | 0.11 | 2.7x | 216 | 50% |
| Buy and hold | 20.8% | -33.1% | 0.56 | 0.63 | 93.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 38-day EMA crosses above the 211-day EMA
- Sell — Sell when the 38-day EMA falls below the 211-day EMA