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.. 7 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 17.1%, MDD -12.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR 16.7%, drawdown -48.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 26.2%, MDD -21.9%, Sharpe 1.44, 26% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.6%p higher than buy and hold, while drawdown improves by 26.6%p (CAGR 17.1%, MDD -12.5%, 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=12, atrPeriod=19, mult=1.1 |
26.2% | -21.9% | 1.44 | 1.20 | 3.5x | 38 | 26% |
| ADX / DI 방향성 period=9, threshold=44 |
17.1% | -12.5% | 1.22 | 1.37 | 2.3x | 22 | 15% |
| 볼린저 밴드 돌파 n=18, k=1.4 |
22.0% | -25.7% | 1.16 | 0.86 | 2.9x | 52 | 34% |
| Supertrend period=18, mult=5 |
24.0% | -28.0% | 1.08 | 0.86 | 3.2x | 9 | 59% |
| MACD fast=12, slow=38, signal=15 |
20.9% | -30.5% | 1.07 | 0.68 | 2.8x | 52 | 43% |
| Donchian 채널 돌파 entryN=115, exitN=3 |
12.3% | -16.5% | 1.06 | 0.75 | 1.9x | 12 | 11% |
| ROC 모멘텀 n=26, threshold=0.06 |
16.9% | -19.6% | 1.01 | 0.86 | 2.3x | 54 | 27% |
| Parabolic SAR step=0.03, maxStep=0.08 |
19.2% | -28.6% | 0.93 | 0.67 | 2.6x | 96 | 51% |
| EMA 크로스오버 fast=11, slow=91 |
14.1% | -34.5% | 0.74 | 0.41 | 2.0x | 14 | 49% |
| SMA 크로스오버 fast=16, slow=172 |
12.1% | -40.3% | 0.66 | 0.30 | 1.8x | 10 | 44% |
| Buy and hold | 16.7% | -48.5% | 0.67 | 0.34 | 2.3x | 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 12-day average + 1.1× volatility (Keltner top)
- Sell — Sell when the close falls back to the 12-day average