Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Carborundum Universal Limited backtest
10 trend-following strategies were compared on the full daily history of Carborundum Universal Limited. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 30.2%, MDD -44.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 33.0%, drawdown -60.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 12.4%, MDD -31.5%, Sharpe 0.66, 34% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 34.3%, MDD -51.1%, exposure 75%.
Return/drawdown alternative: Supertrend — CAGR is 20.6%p lower than buy and hold, while drawdown improves by 29.1%p (CAGR 30.2%, MDD -44.6%, exposure 68%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=48, threshold=17 |
12.4% | -31.5% | 0.66 | 0.39 | 16.8x | 69 | 34% |
| Donchian 채널 돌파 entryN=26, exitN=71 |
34.3% | -51.1% | 0.52 | 0.67 | 1243.7x | 31 | 75% |
| EMA 크로스오버 fast=23, slow=65 |
30.5% | -54.5% | 0.48 | 0.56 | 627.1x | 75 | 62% |
| Supertrend period=28, mult=4.9 |
30.2% | -44.6% | 0.48 | 0.68 | 588.4x | 35 | 68% |
| SMA 크로스오버 fast=29, slow=103 |
30.2% | -50.6% | 0.48 | 0.60 | 583.9x | 55 | 61% |
| 볼린저 밴드 돌파 n=42, k=2.9 |
7.4% | -32.6% | 0.48 | 0.23 | 5.7x | 72 | 25% |
| ROC 모멘텀 n=95, threshold=-0.02 |
27.2% | -59.3% | 0.45 | 0.46 | 335.7x | 191 | 67% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=9, mult=1.6 |
23.8% | -50.1% | 0.42 | 0.48 | 174.6x | 95 | 49% |
| Parabolic SAR step=0.005, maxStep=0.3 |
16.1% | -61.7% | 0.34 | 0.26 | 37.1x | 194 | 58% |
| MACD fast=13, slow=53, signal=17 |
16.1% | -54.4% | 0.34 | 0.30 | 36.6x | 296 | 50% |
| Buy and hold | 33.0% | -60.6% | 0.52 | 0.54 | 982.3x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 48-day) is ≥ 17
- Sell — Sell when direction flips or the trend weakens (ADX < 17)