Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Adani Enterprises Limited backtest
10 trend-following strategies were compared on the full daily history of Adani Enterprises Limited. 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 43.3%, MDD -51.4%).
Results by strategy
5 of 10 beat buy and hold (CAGR 37.6%, drawdown -82.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 46.3%, MDD -53.1%, Sharpe 1.16, 46% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 47.9%, MDD -57.9%, exposure 59%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 8.7%p higher than buy and hold, while drawdown improves by 29.7%p (CAGR 43.3%, MDD -51.4%, exposure 66%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=28, k=1 |
46.3% | -53.1% | 1.16 | 0.87 | 9592.4x | 224 | 46% |
| EMA 크로스오버 fast=4, slow=59 |
47.9% | -57.9% | 1.14 | 0.83 | 12395.0x | 141 | 59% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=18, mult=0.9 |
37.4% | -65.6% | 1.09 | 0.57 | 2095.1x | 260 | 44% |
| ADX / DI 방향성 period=22, threshold=13 |
36.5% | -48.4% | 1.06 | 0.76 | 1803.6x | 248 | 49% |
| Donchian 채널 돌파 entryN=77, exitN=93 |
43.3% | -51.4% | 1.04 | 0.84 | 5749.1x | 21 | 66% |
| ROC 모멘텀 n=22, threshold=0 |
40.1% | -59.7% | 1.01 | 0.67 | 3356.8x | 439 | 55% |
| Parabolic SAR step=0.005, maxStep=0.14 |
38.8% | -54.7% | 1.00 | 0.71 | 2676.4x | 190 | 51% |
| Supertrend period=12, mult=3.3 |
34.4% | -67.0% | 0.98 | 0.51 | 1237.4x | 121 | 53% |
| SMA 크로스오버 fast=6, slow=120 |
34.1% | -67.5% | 0.97 | 0.51 | 1177.2x | 81 | 60% |
| MACD fast=18, slow=33, signal=13 |
31.9% | -73.8% | 0.89 | 0.43 | 786.5x | 290 | 50% |
| Buy and hold | 37.6% | -82.7% | 0.86 | 0.46 | 2197.7x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 28-day average (1× volatility)
- Sell — Sell when the close falls back to the 28-day middle average