Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Birlasoft Limited backtest
10 trend-following strategies were compared on the full daily history of Birlasoft Limited. 9 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 18.4%, MDD -36.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR 17.6%, drawdown -88.5%).
Sharpe leader (same as main): Supertrend — CAGR 27.1%, MDD -43.8%, Sharpe 0.88, 52% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 9.5%p higher than buy and hold, while drawdown improves by 44.7%p (CAGR 18.4%, MDD -36.5%, exposure 30%).
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=22, mult=2.9 |
27.1% | -43.8% | 0.88 | 0.62 | 335.5x | 120 | 52% |
| SMA 크로스오버 fast=6, slow=124 |
25.4% | -40.4% | 0.84 | 0.63 | 241.4x | 84 | 54% |
| ADX / DI 방향성 period=34, threshold=12 |
24.2% | -53.3% | 0.83 | 0.45 | 192.5x | 148 | 49% |
| EMA 크로스오버 fast=4, slow=87 |
24.9% | -57.7% | 0.82 | 0.43 | 219.1x | 128 | 55% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=29, mult=4 |
18.4% | -36.5% | 0.79 | 0.51 | 60.5x | 42 | 30% |
| ROC 모멘텀 n=83, threshold=0.08 |
19.8% | -47.2% | 0.74 | 0.42 | 80.7x | 208 | 45% |
| Donchian 채널 돌파 entryN=85, exitN=26 |
18.4% | -40.3% | 0.74 | 0.46 | 59.7x | 50 | 36% |
| 볼린저 밴드 돌파 n=45, k=1.1 |
18.6% | -62.2% | 0.69 | 0.30 | 62.2x | 158 | 46% |
| Parabolic SAR step=0.005, maxStep=0.24 |
18.3% | -57.8% | 0.67 | 0.32 | 59.2x | 180 | 52% |
| MACD fast=18, slow=55, signal=19 |
11.4% | -67.8% | 0.49 | 0.17 | 13.7x | 238 | 51% |
| Buy and hold | 17.6% | -88.5% | 0.58 | 0.20 | 50.6x | 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) — 22-day volatility, 2.9× band
- Sell — Sell when price drops below the trend line (flips down)