Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Blue Star Limited backtest
10 trend-following strategies were compared on the full daily history of Blue Star Limited. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 26.3%, MDD -50.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 25.8%, drawdown -76.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 32.6%, MDD -50.7%, Sharpe 0.95, 73% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 6.7%p higher than buy and hold, while drawdown improves by 25.7%p (CAGR 26.3%, MDD -50.7%, exposure 71%).
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=81, exitN=105 |
32.6% | -50.7% | 0.95 | 0.64 | 887.4x | 12 | 73% |
| ROC 모멘텀 n=103, threshold=-0.03 |
26.8% | -62.4% | 0.83 | 0.43 | 306.5x | 160 | 73% |
| EMA 크로스오버 fast=36, slow=112 |
26.3% | -50.7% | 0.82 | 0.52 | 274.3x | 30 | 71% |
| SMA 크로스오버 fast=53, slow=115 |
26.2% | -50.7% | 0.82 | 0.52 | 272.0x | 40 | 69% |
| ADX / DI 방향성 period=27, threshold=8 |
23.8% | -62.2% | 0.78 | 0.38 | 172.1x | 242 | 67% |
| Supertrend period=26, mult=3.9 |
21.3% | -50.4% | 0.73 | 0.42 | 105.3x | 72 | 61% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=9, mult=0.2 |
21.2% | -51.1% | 0.73 | 0.41 | 101.9x | 311 | 59% |
| 볼린저 밴드 돌파 n=40, k=0.8 |
19.0% | -50.7% | 0.68 | 0.37 | 66.2x | 215 | 53% |
| MACD fast=15, slow=22, signal=19 |
17.3% | -57.8% | 0.64 | 0.30 | 46.8x | 301 | 51% |
| Parabolic SAR step=0.025, maxStep=0.14 |
8.7% | -78.3% | 0.46 | 0.11 | 7.4x | 534 | 53% |
| Buy and hold | 25.8% | -76.4% | 0.76 | 0.34 | 252.3x | 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 81 days
- Sell — Sell when price breaks below the lowest low of the last 105 days