Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Aditya Birla Capital Ltd. backtest
10 trend-following strategies were compared on the full daily history of Aditya Birla Capital Ltd.. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 6.0%, MDD -26.0%).
Results by strategy
7 of 10 beat buy and hold (CAGR 6.2%, drawdown -83.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.3%, MDD -33.4%, Sharpe 0.71, 53% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.2%p higher than buy and hold, while drawdown improves by 49.8%p (CAGR 6.0%, MDD -26.0%, exposure 19%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=60, exitN=44 |
16.3% | -33.4% | 0.71 | 0.49 | 3.9x | 15 | 53% |
| MACD fast=13, slow=22, signal=18 |
15.8% | -46.1% | 0.70 | 0.34 | 3.7x | 126 | 47% |
| ROC 모멘텀 n=60, threshold=0.05 |
14.5% | -32.0% | 0.67 | 0.45 | 3.4x | 71 | 44% |
| SMA 크로스오버 fast=29, slow=127 |
14.7% | -38.4% | 0.65 | 0.38 | 3.4x | 15 | 54% |
| EMA 크로스오버 fast=9, slow=212 |
14.0% | -34.0% | 0.63 | 0.41 | 3.3x | 17 | 56% |
| Supertrend period=17, mult=4.8 |
12.8% | -50.5% | 0.56 | 0.25 | 2.9x | 23 | 64% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=25, mult=2.3 |
5.1% | -23.3% | 0.44 | 0.22 | 1.6x | 32 | 13% |
| ADX / DI 방향성 period=35, threshold=17 |
6.0% | -26.0% | 0.43 | 0.23 | 1.7x | 32 | 19% |
| 볼린저 밴드 돌파 n=40, k=1.3 |
6.2% | -31.2% | 0.38 | 0.20 | 1.7x | 60 | 41% |
| Parabolic SAR step=0.04, maxStep=0.1 |
5.2% | -53.4% | 0.33 | 0.10 | 1.6x | 201 | 50% |
| Buy and hold | 6.2% | -83.2% | 0.35 | 0.07 | 1.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 60 days
- Sell — Sell when price breaks below the lowest low of the last 44 days