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; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 21.1%, MDD -38.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 24.9%, drawdown -79.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 24.5%, MDD -61.9%, Sharpe 0.83, 65% exposure.
Return/drawdown alternative: Supertrend — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 17.5%p (CAGR 21.1%, MDD -38.2%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=63, threshold=5 |
24.5% | -61.9% | 0.83 | 0.40 | 195.4x | 131 | 65% |
| Supertrend period=25, mult=2.8 |
21.1% | -38.2% | 0.79 | 0.55 | 100.5x | 127 | 53% |
| Donchian 채널 돌파 entryN=8, exitN=35 |
23.3% | -60.2% | 0.76 | 0.39 | 155.1x | 89 | 82% |
| EMA 크로스오버 fast=7, slow=118 |
21.3% | -53.2% | 0.75 | 0.40 | 104.0x | 79 | 65% |
| ROC 모멘텀 n=139, threshold=-0.07 |
21.0% | -62.8% | 0.73 | 0.33 | 99.3x | 117 | 74% |
| 볼린저 밴드 돌파 n=45, k=1.9 |
17.1% | -32.1% | 0.72 | 0.53 | 44.6x | 122 | 40% |
| SMA 크로스오버 fast=6, slow=203 |
19.5% | -64.4% | 0.71 | 0.30 | 72.4x | 61 | 64% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=9, mult=1.5 |
15.5% | -35.5% | 0.67 | 0.44 | 32.1x | 149 | 41% |
| MACD fast=17, slow=58, signal=17 |
16.5% | -42.7% | 0.67 | 0.39 | 39.9x | 241 | 52% |
| Parabolic SAR step=0.005, maxStep=0.18 |
12.1% | -56.3% | 0.53 | 0.22 | 15.7x | 203 | 54% |
| Buy and hold | 24.9% | -79.3% | 0.76 | 0.31 | 212.2x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 63-day) is ≥ 5
- Sell — Sell when direction flips or the trend weakens (ADX < 5)