Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Adani Power Limited backtest
10 trend-following strategies were compared on the full daily history of Adani Power Limited. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 23.9%, MDD -50.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR 14.9%, drawdown -89.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 23.6%, MDD -51.4%, Sharpe 0.83, 35% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 25.2%, MDD -54.7%, exposure 69%.
Return/drawdown alternative: Supertrend — CAGR is 8.8%p higher than buy and hold, while drawdown improves by 37.9%p (CAGR 23.9%, MDD -50.5%, exposure 44%).
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=12, k=1.5 |
23.6% | -51.4% | 0.83 | 0.46 | 36.4x | 274 | 35% |
| SMA 크로스오버 fast=13, slow=37 |
25.0% | -55.1% | 0.80 | 0.45 | 43.8x | 104 | 51% |
| Supertrend period=25, mult=1.6 |
23.9% | -50.5% | 0.80 | 0.47 | 37.6x | 234 | 44% |
| Donchian 채널 돌파 entryN=18, exitN=45 |
25.2% | -54.7% | 0.76 | 0.46 | 44.9x | 50 | 69% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=12, mult=0.9 |
22.0% | -51.0% | 0.76 | 0.43 | 29.3x | 134 | 44% |
| Parabolic SAR step=0.03, maxStep=0.2 |
20.6% | -62.2% | 0.71 | 0.33 | 23.9x | 406 | 49% |
| EMA 크로스오버 fast=55, slow=78 |
20.0% | -74.8% | 0.69 | 0.27 | 22.1x | 27 | 54% |
| ROC 모멘텀 n=90, threshold=0.08 |
17.2% | -65.1% | 0.63 | 0.26 | 14.6x | 141 | 45% |
| ADX / DI 방향성 period=9, threshold=17 |
15.2% | -60.0% | 0.58 | 0.25 | 11.0x | 382 | 46% |
| MACD fast=16, slow=72, signal=4 |
15.3% | -82.7% | 0.58 | 0.19 | 11.2x | 300 | 50% |
| Buy and hold | 14.9% | -89.2% | 0.53 | 0.17 | 10.5x | 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 12-day average (1.5× volatility)
- Sell — Sell when the close falls back to the 12-day middle average