Trend-Following Backtester · Guide · backtest 한국어

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Ashapura Minechem Ltd backtest

10 trend-following strategies were compared on the full daily history of Ashapura Minechem Ltd. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 14.5%, MDD -44.5%).

Data 1996-01-05 ~ 2026-07-31daily bars 7,675 (30.6 years)Costs 0.5%Venue NSEMonthly snapshot 2026-07-31

Results by strategy

7 of 10 beat buy and hold (CAGR 15.4%, drawdown -97.9%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 21.9%, MDD -61.6%, Sharpe 0.74, 40% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.5%p higher than buy and hold, while drawdown improves by 36.3%p (CAGR 14.5%, MDD -44.5%, 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
볼린저 밴드 돌파
n=45, k=1.3
21.9%-61.6%0.740.36423.6x18640%
Keltner 채널 돌파
emaPeriod=49, atrPeriod=24, mult=2
21.2%-60.1%0.730.35352.9x15437%
Donchian 채널 돌파
entryN=41, exitN=3
14.5%-44.5%0.720.3363.0x20815%
Supertrend
period=24, mult=4.9
21.3%-76.0%0.710.28363.2x12348%
EMA 크로스오버
fast=19, slow=23
21.0%-74.4%0.690.28338.0x19750%
SMA 크로스오버
fast=8, slow=42
19.2%-82.1%0.650.23213.6x23549%
MACD
fast=14, slow=48, signal=15
19.4%-76.8%0.650.25224.4x36550%
ROC 모멘텀
n=82, threshold=0.1
15.4%-84.5%0.580.1879.0x24140%
Parabolic SAR
step=0.01, maxStep=0.14
15.8%-76.8%0.570.2187.6x37349%
ADX / DI 방향성
period=15, threshold=24
10.9%-65.3%0.490.1723.7x25629%
Buy and hold15.4%-97.9%0.530.1680.3x1100%
1x 10x 100x 1997 2001 2005 2009 2013 2017 2021 2025 볼린저 밴드 돌파Buy and hold
볼린저 밴드 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -24% -49% -73% -98% 1997 2001 2005 2009 2013 2017 2021 2025 Buy and hold볼린저 밴드 돌파
볼린저 밴드 돌파 maximum drawdown -61.6% (1996-03-28 → 2003-11-06), recovered after 3,249 days.

Rules of the top strategy

Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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