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 42.8%, MDD -51.4%).
Results by strategy
5 of 10 beat buy and hold (CAGR 37.2%, drawdown -82.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 45.6%, MDD -53.1%, Sharpe 1.15, 46% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 47.4%, MDD -57.9%, exposure 60%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 8.4%p higher than buy and hold, while drawdown improves by 29.7%p (CAGR 42.8%, 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 |
45.6% | -53.1% | 1.15 | 0.86 | 8774.5x | 225 | 46% |
| EMA 크로스오버 fast=4, slow=59 |
47.4% | -57.9% | 1.13 | 0.82 | 11775.6x | 141 | 60% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=18, mult=0.9 |
36.7% | -65.6% | 1.08 | 0.56 | 1916.5x | 261 | 44% |
| ADX / DI 방향성 period=22, threshold=13 |
35.8% | -48.4% | 1.04 | 0.74 | 1620.5x | 251 | 49% |
| Donchian 채널 돌파 entryN=77, exitN=93 |
42.8% | -51.4% | 1.04 | 0.83 | 5461.8x | 21 | 66% |
| ROC 모멘텀 n=22, threshold=0 |
39.4% | -59.7% | 1.00 | 0.66 | 3055.2x | 441 | 55% |
| Parabolic SAR step=0.005, maxStep=0.14 |
38.1% | -54.7% | 0.99 | 0.70 | 2446.9x | 191 | 51% |
| Supertrend period=12, mult=3.3 |
34.0% | -67.0% | 0.97 | 0.51 | 1175.5x | 121 | 53% |
| SMA 크로스오버 fast=6, slow=120 |
33.7% | -67.5% | 0.96 | 0.50 | 1118.4x | 81 | 60% |
| MACD fast=18, slow=33, signal=13 |
31.2% | -73.8% | 0.87 | 0.42 | 706.0x | 291 | 50% |
| Buy and hold | 37.2% | -82.7% | 0.86 | 0.45 | 2087.8x | 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