Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Britannia Industries Ltd backtest
10 trend-following strategies were compared on the full daily history of Britannia Industries Ltd. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 17.5%, MDD -41.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 22.4%, drawdown -59.1%).
Sharpe leader (same as main): Supertrend — CAGR 17.8%, MDD -67.3%, Sharpe 0.84, 62% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.6%p lower than buy and hold, while drawdown improves by -8.2%p (CAGR 17.5%, MDD -41.1%, exposure 62%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=20, mult=4.6 |
17.8% | -67.3% | 0.84 | 0.27 | 153.8x | 67 | 62% |
| SMA 크로스오버 fast=53, slow=99 |
17.5% | -41.1% | 0.80 | 0.42 | 138.7x | 74 | 62% |
| ROC 모멘텀 n=106, threshold=-0.12 |
17.1% | -71.8% | 0.75 | 0.24 | 128.0x | 121 | 88% |
| EMA 크로스오버 fast=45, slow=163 |
16.4% | -50.0% | 0.73 | 0.33 | 105.5x | 42 | 70% |
| 볼린저 밴드 돌파 n=35, k=1.3 |
12.9% | -37.2% | 0.73 | 0.35 | 41.4x | 240 | 47% |
| Donchian 채널 돌파 entryN=113, exitN=45 |
12.0% | -57.6% | 0.70 | 0.21 | 32.3x | 46 | 43% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=17, mult=1 |
11.8% | -59.3% | 0.64 | 0.20 | 30.8x | 230 | 50% |
| MACD fast=18, slow=38, signal=23 |
10.3% | -44.5% | 0.60 | 0.23 | 20.0x | 312 | 50% |
| Parabolic SAR step=0.005, maxStep=0.22 |
8.0% | -65.6% | 0.48 | 0.12 | 10.6x | 262 | 55% |
| ADX / DI 방향성 period=20, threshold=12 |
5.6% | -73.6% | 0.36 | 0.08 | 5.3x | 430 | 56% |
| Buy and hold | 22.4% | -59.1% | 0.84 | 0.38 | 492.8x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 20-day volatility, 4.6× band
- Sell — Sell when price drops below the trend line (flips down)