Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Anant Raj Ltd. backtest
10 trend-following strategies were compared on the full daily history of Anant Raj Ltd.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 11.8%, MDD -35.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR 2.8%, drawdown -99.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 21.5%, MDD -49.5%, Sharpe 0.82, 22% exposure.
CAGR reference leader: Parabolic SAR — CAGR 25.7%, MDD -78.6%, exposure 49%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 18.7%p higher than buy and hold, while drawdown improves by 49.5%p (CAGR 11.8%, MDD -35.6%, exposure 15%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=4, atrPeriod=13, mult=0.6 |
21.5% | -49.5% | 0.82 | 0.43 | 47.6x | 393 | 22% |
| Parabolic SAR step=0.06, maxStep=0.28 |
25.7% | -78.6% | 0.79 | 0.33 | 93.4x | 729 | 49% |
| Supertrend period=5, mult=0.9 |
23.7% | -67.2% | 0.76 | 0.35 | 68.5x | 527 | 47% |
| 볼린저 밴드 돌파 n=7, k=1.3 |
21.7% | -68.3% | 0.74 | 0.32 | 49.3x | 554 | 37% |
| ROC 모멘텀 n=85, threshold=0.06 |
22.0% | -65.0% | 0.73 | 0.34 | 51.6x | 143 | 44% |
| MACD fast=3, slow=44, signal=3 |
19.3% | -67.8% | 0.65 | 0.28 | 33.4x | 886 | 49% |
| SMA 크로스오버 fast=8, slow=123 |
18.3% | -81.5% | 0.63 | 0.22 | 27.9x | 63 | 49% |
| ADX / DI 방향성 period=36, threshold=23 |
11.8% | -35.6% | 0.60 | 0.33 | 9.2x | 28 | 15% |
| EMA 크로스오버 fast=24, slow=68 |
16.6% | -80.1% | 0.60 | 0.21 | 21.2x | 57 | 50% |
| Donchian 채널 돌파 entryN=98, exitN=36 |
15.0% | -54.5% | 0.59 | 0.28 | 16.1x | 31 | 35% |
| Buy and hold | 2.8% | -99.0% | 0.38 | 0.03 | 1.7x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 4-day average + 0.6× volatility (Keltner top)
- Sell — Sell when the close falls back to the 4-day average