Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Adani Energy Solutions Ltd backtest
10 trend-following strategies were compared on the full daily history of Adani Energy Solutions Ltd. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 46.2%, MDD -44.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 42.6%, drawdown -85.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 49.2%, MDD -54.1%, Sharpe 1.23, 68% exposure.
Return/drawdown alternative: Supertrend — CAGR is 6.6%p higher than buy and hold, while drawdown improves by 31.3%p (CAGR 46.2%, MDD -44.9%, exposure 67%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=58, slow=179 |
49.2% | -54.1% | 1.23 | 0.91 | 84.3x | 9 | 68% |
| Supertrend period=6, mult=3.7 |
46.2% | -44.9% | 1.16 | 1.03 | 67.4x | 41 | 67% |
| EMA 크로스오버 fast=46, slow=221 |
42.1% | -55.5% | 1.12 | 0.76 | 49.1x | 9 | 62% |
| Donchian 채널 돌파 entryN=95, exitN=69 |
39.8% | -56.6% | 1.08 | 0.70 | 41.1x | 13 | 68% |
| ROC 모멘텀 n=94, threshold=-0.04 |
41.4% | -55.8% | 1.05 | 0.74 | 46.6x | 95 | 71% |
| 볼린저 밴드 돌파 n=34, k=1.4 |
32.2% | -58.4% | 1.01 | 0.55 | 22.1x | 86 | 45% |
| ADX / DI 방향성 period=29, threshold=13 |
34.0% | -46.3% | 0.99 | 0.73 | 25.6x | 83 | 55% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=11, mult=1.1 |
30.8% | -52.0% | 0.98 | 0.59 | 19.6x | 104 | 46% |
| MACD fast=12, slow=60, signal=3 |
32.1% | -62.5% | 0.97 | 0.51 | 22.0x | 264 | 48% |
| Parabolic SAR step=0.02, maxStep=0.3 |
30.9% | -72.1% | 0.91 | 0.43 | 19.9x | 205 | 55% |
| Buy and hold | 42.6% | -85.4% | 0.96 | 0.50 | 51.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 58-day average price crosses above the 179-day average
- Sell — Sell (to cash) when the 58-day average falls below the 179-day average