Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Aurobindo Pharma Ltd backtest
10 trend-following strategies were compared on the full daily history of Aurobindo Pharma Ltd. 7 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 22.2%, MDD -56.4%).
Results by strategy
7 of 10 beat buy and hold (CAGR 20.6%, drawdown -93.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 24.6%, MDD -68.0%, Sharpe 0.79, 43% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 25.4%, MDD -66.0%, exposure 55%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.0%p higher than buy and hold, while drawdown improves by 25.1%p (CAGR 22.2%, MDD -56.4%, exposure 37%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=12, mult=1.7 |
24.6% | -68.0% | 0.79 | 0.36 | 834.5x | 147 | 43% |
| EMA 크로스오버 fast=31, slow=32 |
25.4% | -66.0% | 0.77 | 0.39 | 1013.8x | 121 | 55% |
| SMA 크로스오버 fast=9, slow=155 |
25.2% | -77.1% | 0.77 | 0.33 | 950.9x | 81 | 56% |
| Donchian 채널 돌파 entryN=66, exitN=39 |
24.0% | -66.6% | 0.76 | 0.36 | 708.8x | 59 | 47% |
| ROC 모멘텀 n=51, threshold=0.02 |
24.7% | -62.7% | 0.76 | 0.39 | 848.3x | 397 | 52% |
| Supertrend period=20, mult=3.1 |
23.5% | -65.4% | 0.76 | 0.36 | 622.9x | 183 | 53% |
| 볼린저 밴드 돌파 n=70, k=2.1 |
22.2% | -56.4% | 0.75 | 0.39 | 455.5x | 85 | 37% |
| ADX / DI 방향성 period=19, threshold=30 |
12.3% | -38.4% | 0.75 | 0.32 | 34.4x | 70 | 12% |
| MACD fast=16, slow=59, signal=19 |
12.5% | -69.1% | 0.52 | 0.18 | 36.5x | 312 | 52% |
| Parabolic SAR step=0.015, maxStep=0.32 |
6.8% | -89.4% | 0.38 | 0.08 | 7.5x | 553 | 53% |
| Buy and hold | 20.6% | -93.1% | 0.61 | 0.22 | 305.3x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 58-day average + 1.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 58-day average