Trend-Following Backtester · Guide · backtest 한국어
equity · IN
CCL Products (India) Limited backtest
10 trend-following strategies were compared on the full daily history of CCL Products (India) Limited. 0 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 23.4%, MDD -60.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 25.8%, drawdown -89.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 23.4%, MDD -60.1%, Sharpe 0.83, 59% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.4%p lower than buy and hold, while drawdown improves by 29.8%p (CAGR 23.4%, MDD -60.1%, exposure 59%).
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=58, exitN=62 |
23.4% | -60.1% | 0.83 | 0.39 | 107.6x | 31 | 59% |
| EMA 크로스오버 fast=56, slow=60 |
23.1% | -58.6% | 0.82 | 0.39 | 100.8x | 41 | 61% |
| Keltner 채널 돌파 emaPeriod=84, atrPeriod=19, mult=3.4 |
18.9% | -40.3% | 0.81 | 0.47 | 47.0x | 42 | 38% |
| Supertrend period=18, mult=2.4 |
21.4% | -66.5% | 0.79 | 0.32 | 75.1x | 152 | 49% |
| SMA 크로스오버 fast=29, slow=53 |
20.6% | -62.0% | 0.75 | 0.33 | 64.8x | 98 | 56% |
| 볼린저 밴드 돌파 n=34, k=1.5 |
18.3% | -53.0% | 0.73 | 0.34 | 41.6x | 172 | 40% |
| ROC 모멘텀 n=72, threshold=-0.04 |
19.6% | -62.0% | 0.71 | 0.32 | 53.8x | 219 | 66% |
| ADX / DI 방향성 period=21, threshold=22 |
15.0% | -48.7% | 0.68 | 0.31 | 22.2x | 130 | 33% |
| Parabolic SAR step=0.005, maxStep=0.34 |
16.5% | -73.1% | 0.64 | 0.23 | 29.8x | 176 | 53% |
| MACD fast=19, slow=52, signal=17 |
10.9% | -61.6% | 0.49 | 0.18 | 10.0x | 236 | 50% |
| Buy and hold | 25.8% | -89.8% | 0.75 | 0.29 | 164.1x | 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 58 days
- Sell — Sell when price breaks below the lowest low of the last 62 days