Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Alembic Pharmaceuticals Limited backtest
10 trend-following strategies were compared on the full daily history of Alembic Pharmaceuticals Limited. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 26.6%, MDD -41.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 21.4%, drawdown -58.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 26.6%, MDD -41.5%, Sharpe 0.97, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.2%p higher than buy and hold, while drawdown improves by 16.9%p (CAGR 26.6%, MDD -41.5%, exposure 57%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=27, slow=165 |
26.6% | -41.5% | 0.97 | 0.64 | 34.0x | 19 | 57% |
| EMA 크로스오버 fast=77, slow=78 |
24.0% | -49.2% | 0.89 | 0.49 | 24.8x | 17 | 57% |
| 볼린저 밴드 돌파 n=62, k=1.1 |
18.1% | -43.7% | 0.78 | 0.41 | 12.0x | 61 | 44% |
| ROC 모멘텀 n=112, threshold=0.04 |
18.4% | -44.0% | 0.76 | 0.42 | 12.5x | 105 | 51% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=17, mult=2 |
15.6% | -39.2% | 0.73 | 0.40 | 8.7x | 44 | 36% |
| Donchian 채널 돌파 entryN=77, exitN=66 |
16.2% | -47.1% | 0.68 | 0.34 | 9.5x | 17 | 57% |
| Supertrend period=17, mult=3.4 |
15.5% | -48.2% | 0.67 | 0.32 | 8.6x | 51 | 52% |
| ADX / DI 방향성 period=27, threshold=16 |
11.4% | -36.9% | 0.57 | 0.31 | 5.0x | 107 | 42% |
| MACD fast=9, slow=63, signal=16 |
5.9% | -59.2% | 0.36 | 0.10 | 2.4x | 202 | 49% |
| Parabolic SAR step=0.005, maxStep=0.24 |
4.3% | -50.1% | 0.29 | 0.09 | 1.9x | 117 | 56% |
| Buy and hold | 21.4% | -58.4% | 0.73 | 0.37 | 18.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 27-day average price crosses above the 165-day average
- Sell — Sell (to cash) when the 27-day average falls below the 165-day average