Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Anupam Rasayan India Ltd. backtest
10 trend-following strategies were compared on the full daily history of Anupam Rasayan India Ltd.. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 16.5%, MDD -9.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR 15.6%, drawdown -48.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 23.9%, MDD -12.8%, Sharpe 1.49, 17% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.2%p higher than buy and hold, while drawdown improves by 35.7%p (CAGR 16.5%, MDD -9.7%, exposure 12%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=21, threshold=0.1 |
23.9% | -12.8% | 1.49 | 1.87 | 3.3x | 28 | 17% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=19, mult=1.6 |
23.3% | -12.8% | 1.48 | 1.82 | 3.2x | 26 | 20% |
| ADX / DI 방향성 period=8, threshold=50 |
16.5% | -9.7% | 1.28 | 1.71 | 2.3x | 18 | 12% |
| 볼린저 밴드 돌파 n=13, k=1.8 |
21.7% | -22.4% | 1.18 | 0.97 | 3.0x | 60 | 29% |
| Donchian 채널 돌파 entryN=25, exitN=27 |
22.2% | -35.0% | 1.11 | 0.63 | 3.0x | 14 | 47% |
| Supertrend period=5, mult=1.7 |
22.9% | -30.9% | 1.07 | 0.74 | 3.1x | 54 | 52% |
| MACD fast=14, slow=23, signal=24 |
20.2% | -30.3% | 1.06 | 0.67 | 2.8x | 54 | 44% |
| Parabolic SAR step=0.01, maxStep=0.06 |
19.2% | -28.2% | 0.95 | 0.68 | 2.6x | 60 | 50% |
| EMA 크로스오버 fast=11, slow=96 |
13.5% | -35.2% | 0.72 | 0.38 | 2.0x | 14 | 48% |
| SMA 크로스오버 fast=9, slow=101 |
10.7% | -33.3% | 0.62 | 0.32 | 1.8x | 16 | 44% |
| Buy and hold | 15.6% | -48.5% | 0.64 | 0.32 | 2.2x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 21-day return is greater than 10%
- Sell — Sell when the 21-day return drops to 10% or below