Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Adani Ports & Special Economic Zone Ltd backtest
10 trend-following strategies were compared on the full daily history of Adani Ports & Special Economic Zone Ltd. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.3%, MDD -44.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 12.3%, drawdown -80.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.6%, MDD -45.8%, Sharpe 0.58, 60% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 34.5%p (CAGR 12.3%, MDD -44.1%, exposure 52%).
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=59, slow=101 |
13.6% | -45.8% | 0.58 | 0.30 | 10.7x | 51 | 60% |
| Donchian 채널 돌파 entryN=110, exitN=71 |
12.3% | -44.1% | 0.58 | 0.28 | 8.7x | 19 | 52% |
| ROC 모멘텀 n=96, threshold=-0.11 |
13.2% | -56.0% | 0.55 | 0.24 | 10.1x | 117 | 79% |
| EMA 크로스오버 fast=52, slow=84 |
11.6% | -53.1% | 0.53 | 0.22 | 7.8x | 35 | 64% |
| MACD fast=15, slow=59, signal=18 |
7.7% | -57.3% | 0.42 | 0.13 | 4.0x | 196 | 50% |
| ADX / DI 방향성 period=31, threshold=27 |
2.3% | -16.6% | 0.36 | 0.14 | 1.5x | 10 | 3% |
| 볼린저 밴드 돌파 n=32, k=1 |
5.5% | -66.6% | 0.34 | 0.08 | 2.7x | 184 | 45% |
| Supertrend period=10, mult=3 |
4.7% | -54.0% | 0.31 | 0.09 | 2.4x | 114 | 57% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=17, mult=4 |
0.6% | -7.5% | 0.25 | 0.08 | 1.1x | 2 | 1% |
| Parabolic SAR step=0.015, maxStep=0.34 |
2.9% | -76.1% | 0.24 | 0.04 | 1.7x | 324 | 54% |
| Buy and hold | 12.3% | -80.3% | 0.49 | 0.15 | 8.8x | 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 59-day average price crosses above the 101-day average
- Sell — Sell (to cash) when the 59-day average falls below the 101-day average