Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Adani Green Energy Limited backtest
10 trend-following strategies were compared on the full daily history of Adani Green Energy Limited. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 71.1%, MDD -44.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR 59.2%, drawdown -84.4%).
Sharpe leader (same as main): Supertrend — CAGR 103.6%, MDD -52.4%, Sharpe 2.01, 55% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 44.4%p higher than buy and hold, while drawdown improves by 32.0%p (CAGR 71.1%, MDD -44.2%, exposure 42%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=12, mult=2.4 |
103.6% | -52.4% | 2.01 | 1.98 | 321.6x | 60 | 55% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=7, mult=2.1 |
49.7% | -48.3% | 1.69 | 1.03 | 26.5x | 42 | 20% |
| 볼린저 밴드 돌파 n=16, k=1.3 |
71.1% | -44.2% | 1.68 | 1.61 | 78.4x | 120 | 42% |
| MACD fast=12, slow=42, signal=6 |
67.0% | -72.0% | 1.62 | 0.93 | 64.2x | 132 | 47% |
| SMA 크로스오버 fast=16, slow=202 |
70.1% | -49.3% | 1.57 | 1.42 | 74.5x | 9 | 59% |
| ROC 모멘텀 n=146, threshold=0.01 |
70.2% | -49.3% | 1.55 | 1.42 | 74.9x | 53 | 61% |
| Parabolic SAR step=0.025, maxStep=0.3 |
66.1% | -59.2% | 1.53 | 1.12 | 61.4x | 170 | 53% |
| EMA 크로스오버 fast=50, slow=187 |
60.7% | -49.3% | 1.45 | 1.23 | 46.9x | 5 | 59% |
| ADX / DI 방향성 period=13, threshold=17 |
58.1% | -51.4% | 1.43 | 1.13 | 41.1x | 104 | 47% |
| Donchian 채널 돌파 entryN=13, exitN=63 |
73.8% | -58.5% | 1.41 | 1.26 | 88.7x | 19 | 85% |
| Buy and hold | 59.2% | -84.4% | 1.14 | 0.70 | 43.7x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 12-day volatility, 2.4× band
- Sell — Sell when price drops below the trend line (flips down)