Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Alkem Laboratories Ltd. backtest
10 trend-following strategies were compared on the full daily history of Alkem Laboratories Ltd.. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 13.4%, drawdown -28.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 9.7%, MDD -14.2%, Sharpe 0.80, 24% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=34, k=2.7 |
9.7% | -14.2% | 0.80 | 0.68 | 2.7x | 28 | 24% |
| SMA 크로스오버 fast=43, slow=172 |
9.3% | -28.5% | 0.55 | 0.33 | 2.6x | 19 | 59% |
| EMA 크로스오버 fast=57, slow=110 |
8.7% | -37.0% | 0.51 | 0.24 | 2.4x | 15 | 61% |
| Donchian 채널 돌파 entryN=45, exitN=40 |
7.8% | -26.0% | 0.49 | 0.30 | 2.2x | 23 | 52% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=8, mult=1.9 |
5.9% | -28.8% | 0.46 | 0.20 | 1.8x | 52 | 35% |
| MACD fast=14, slow=58, signal=19 |
6.8% | -35.5% | 0.46 | 0.19 | 2.0x | 102 | 51% |
| ROC 모멘텀 n=79, threshold=-0.04 |
7.6% | -30.6% | 0.45 | 0.25 | 2.2x | 94 | 70% |
| Supertrend period=22, mult=5 |
6.2% | -28.3% | 0.42 | 0.22 | 1.9x | 22 | 59% |
| ADX / DI 방향성 period=27, threshold=35 |
1.8% | -9.8% | 0.41 | 0.19 | 1.2x | 6 | 4% |
| Parabolic SAR step=0.015, maxStep=0.16 |
4.2% | -39.0% | 0.32 | 0.11 | 1.6x | 182 | 51% |
| Buy and hold | 13.4% | -28.3% | 0.63 | 0.47 | 3.8x | 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 34-day average (2.7× volatility)
- Sell — Sell when the close falls back to the 34-day middle average