Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Aditya Birla Fashion and Retail Ltd backtest
10 trend-following strategies were compared on the full daily history of Aditya Birla Fashion and Retail Ltd. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 3.1%, MDD -12.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR -7.4%, drawdown -85.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.5%, MDD -36.0%, Sharpe 0.38, 37% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 13.9%p higher than buy and hold, while drawdown improves by 49.0%p (CAGR 3.1%, MDD -12.1%, exposure 2%).
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=102, exitN=44 |
6.5% | -36.0% | 0.38 | 0.18 | 2.3x | 18 | 37% |
| 볼린저 밴드 돌파 n=14, k=3.1 |
3.5% | -22.2% | 0.35 | 0.16 | 1.6x | 22 | 5% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=28, mult=3.9 |
3.1% | -12.1% | 0.35 | 0.26 | 1.5x | 6 | 2% |
| SMA 크로스오버 fast=15, slow=136 |
4.9% | -51.9% | 0.31 | 0.09 | 1.9x | 28 | 52% |
| ROC 모멘텀 n=116, threshold=0.12 |
3.8% | -42.1% | 0.27 | 0.09 | 1.6x | 102 | 36% |
| ADX / DI 방향성 period=34, threshold=17 |
2.4% | -45.5% | 0.22 | 0.05 | 1.4x | 56 | 29% |
| EMA 크로스오버 fast=11, slow=139 |
0.9% | -51.6% | 0.18 | 0.02 | 1.1x | 40 | 51% |
| Supertrend period=11, mult=4.9 |
-7.7% | -78.8% | 0.00 | -0.10 | 0.4x | 30 | 59% |
| MACD fast=15, slow=51, signal=27 |
-7.1% | -86.3% | -0.01 | -0.08 | 0.4x | 126 | 50% |
| Parabolic SAR step=0.04, maxStep=0.12 |
-5.3% | -72.1% | -0.05 | -0.07 | 0.5x | 343 | 48% |
| Buy and hold | -7.4% | -85.0% | 0.08 | -0.09 | 0.4x | 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 102 days
- Sell — Sell when price breaks below the lowest low of the last 44 days