Trend-Following Backtester · Guide · backtest 한국어
equity · IN
AstraZeneca Pharma India Limited backtest
10 trend-following strategies were compared on the full daily history of AstraZeneca Pharma India Limited. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 21.5%, MDD -51.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 21.7%, drawdown -76.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 21.5%, MDD -51.3%, Sharpe 0.75, 64% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 24.7%p (CAGR 21.5%, MDD -51.3%, exposure 64%).
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=49, slow=248 |
21.5% | -51.3% | 0.75 | 0.42 | 109.0x | 18 | 64% |
| EMA 크로스오버 fast=90, slow=145 |
20.1% | -58.0% | 0.73 | 0.35 | 83.0x | 20 | 65% |
| Donchian 채널 돌파 entryN=70, exitN=45 |
12.2% | -62.3% | 0.54 | 0.20 | 15.9x | 44 | 47% |
| MACD fast=19, slow=56, signal=17 |
11.7% | -50.8% | 0.52 | 0.23 | 14.5x | 234 | 48% |
| ROC 모멘텀 n=136, threshold=0.05 |
10.9% | -55.5% | 0.49 | 0.20 | 12.1x | 188 | 56% |
| ADX / DI 방향성 period=39, threshold=13 |
10.0% | -65.6% | 0.47 | 0.15 | 9.9x | 130 | 54% |
| Supertrend period=8, mult=3.9 |
10.0% | -56.4% | 0.46 | 0.18 | 10.0x | 98 | 63% |
| 볼린저 밴드 돌파 n=31, k=1.5 |
8.4% | -56.2% | 0.43 | 0.15 | 7.0x | 212 | 38% |
| Parabolic SAR step=0.015, maxStep=0.16 |
8.6% | -63.2% | 0.43 | 0.14 | 7.2x | 388 | 47% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=29, mult=2.6 |
6.6% | -49.2% | 0.39 | 0.13 | 4.7x | 100 | 28% |
| Buy and hold | 21.7% | -76.0% | 0.69 | 0.29 | 113.8x | 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 49-day average price crosses above the 248-day average
- Sell — Sell (to cash) when the 49-day average falls below the 248-day average