Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Atul Limited backtest
10 trend-following strategies were compared on the full daily history of Atul Limited. 0 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 22.4%, MDD -36.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 24.1%, drawdown -79.3%).
Sharpe leader (same as main): MACD — CAGR 22.4%, MDD -36.5%, Sharpe 0.83, 52% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 23.6%, MDD -61.9%, exposure 65%.
Return/drawdown alternative: MACD — CAGR is 1.7%p lower than buy and hold, while drawdown improves by 42.8%p (CAGR 22.4%, MDD -36.5%, exposure 52%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=24, slow=51, signal=23 |
22.4% | -36.5% | 0.83 | 0.61 | 133.3x | 186 | 52% |
| ADX / DI 방향성 period=63, threshold=5 |
23.6% | -61.9% | 0.81 | 0.38 | 171.6x | 134 | 65% |
| Donchian 채널 돌파 entryN=17, exitN=30 |
22.9% | -53.9% | 0.80 | 0.42 | 147.2x | 80 | 68% |
| Supertrend period=19, mult=2.5 |
20.1% | -45.8% | 0.76 | 0.44 | 84.5x | 148 | 54% |
| 볼린저 밴드 돌파 n=36, k=1.9 |
18.3% | -36.1% | 0.76 | 0.51 | 59.0x | 134 | 40% |
| EMA 크로스오버 fast=19, slow=210 |
21.3% | -53.3% | 0.74 | 0.40 | 107.6x | 36 | 68% |
| SMA 크로스오버 fast=25, slow=219 |
19.4% | -58.5% | 0.71 | 0.33 | 73.2x | 36 | 65% |
| ROC 모멘텀 n=149, threshold=-0.02 |
19.3% | -61.5% | 0.70 | 0.31 | 72.5x | 156 | 68% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=27, mult=1.6 |
15.8% | -41.2% | 0.70 | 0.38 | 35.3x | 146 | 36% |
| Parabolic SAR step=0.005, maxStep=0.42 |
11.8% | -56.3% | 0.52 | 0.21 | 14.8x | 204 | 54% |
| Buy and hold | 24.1% | -79.3% | 0.74 | 0.30 | 186.3x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (24/51) crosses above its 23-day signal line
- Sell — Sell when the MACD line crosses back below the signal line