Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Asian Paints Ltd. backtest
10 trend-following strategies were compared on the full daily history of Asian Paints Ltd.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 22.1%, drawdown -44.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 18.9%, MDD -46.1%, Sharpe 0.84, 91% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=82, threshold=-0.12 |
18.9% | -46.1% | 0.84 | 0.41 | 64.6x | 79 | 91% |
| Supertrend period=16, mult=3.7 |
15.3% | -32.9% | 0.84 | 0.47 | 31.0x | 85 | 65% |
| EMA 크로스오버 fast=22, slow=31 |
15.3% | -38.9% | 0.82 | 0.39 | 31.1x | 107 | 66% |
| 볼린저 밴드 돌파 n=46, k=1.5 |
12.1% | -31.8% | 0.75 | 0.38 | 15.8x | 139 | 51% |
| SMA 크로스오버 fast=21, slow=49 |
13.5% | -34.2% | 0.74 | 0.39 | 20.9x | 119 | 64% |
| Donchian 채널 돌파 entryN=11, exitN=24 |
14.0% | -46.8% | 0.72 | 0.30 | 23.5x | 119 | 76% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=16, mult=2.3 |
9.5% | -37.8% | 0.61 | 0.25 | 9.0x | 91 | 51% |
| ADX / DI 방향성 period=28, threshold=6 |
8.5% | -36.7% | 0.51 | 0.23 | 7.1x | 325 | 64% |
| MACD fast=18, slow=59, signal=18 |
4.9% | -48.6% | 0.37 | 0.10 | 3.2x | 258 | 49% |
| Parabolic SAR step=0.03, maxStep=0.12 |
4.5% | -54.5% | 0.33 | 0.08 | 2.9x | 585 | 56% |
| Buy and hold | 22.1% | -44.9% | 0.91 | 0.49 | 122.7x | 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 82-day return is greater than -12%
- Sell — Sell when the 82-day return drops to -12% or below