Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Bharat Dynamics Ltd. backtest
10 trend-following strategies were compared on the full daily history of Bharat Dynamics Ltd.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 25.4%, MDD -47.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 24.9%, drawdown -62.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 25.4%, MDD -47.2%, Sharpe 0.80, 69% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 14.8%p (CAGR 25.4%, MDD -47.2%, exposure 69%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=41, exitN=74 |
25.4% | -47.2% | 0.80 | 0.54 | 6.6x | 9 | 69% |
| SMA 크로스오버 fast=64, slow=192 |
22.0% | -43.7% | 0.76 | 0.50 | 5.3x | 10 | 66% |
| ROC 모멘텀 n=137, threshold=0.02 |
18.4% | -44.1% | 0.66 | 0.42 | 4.1x | 46 | 64% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=18, mult=3.1 |
11.5% | -25.9% | 0.62 | 0.44 | 2.5x | 18 | 14% |
| Supertrend period=13, mult=4.7 |
16.2% | -45.5% | 0.60 | 0.36 | 3.5x | 25 | 64% |
| EMA 크로스오버 fast=13, slow=91 |
15.0% | -49.2% | 0.58 | 0.31 | 3.2x | 36 | 58% |
| MACD fast=12, slow=35, signal=13 |
13.5% | -48.5% | 0.55 | 0.28 | 2.9x | 124 | 50% |
| 볼린저 밴드 돌파 n=35, k=2.2 |
10.0% | -39.4% | 0.49 | 0.25 | 2.2x | 46 | 27% |
| Parabolic SAR step=0.035, maxStep=0.2 |
9.0% | -41.4% | 0.43 | 0.22 | 2.1x | 233 | 50% |
| ADX / DI 방향성 period=32, threshold=11 |
8.8% | -50.6% | 0.42 | 0.17 | 2.0x | 94 | 57% |
| Buy and hold | 24.9% | -62.0% | 0.73 | 0.40 | 6.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 41 days
- Sell — Sell when price breaks below the lowest low of the last 74 days