Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Cipla Ltd backtest
10 trend-following strategies were compared on the full daily history of Cipla Ltd. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 18.2%, drawdown -96.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.0%, MDD -31.3%, Sharpe 0.45, 10% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 11.4%, MDD -94.1%, exposure 67%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=14, threshold=35 |
5.0% | -31.3% | 0.45 | 0.16 | 4.5x | 76 | 10% |
| EMA 크로스오버 fast=44, slow=189 |
11.4% | -94.1% | 0.35 | 0.12 | 27.4x | 47 | 67% |
| SMA 크로스오버 fast=23, slow=195 |
10.8% | -93.6% | 0.34 | 0.11 | 22.7x | 63 | 61% |
| Donchian 채널 돌파 entryN=60, exitN=74 |
-4.2% | -99.6% | 0.25 | -0.04 | 0.3x | 51 | 65% |
| 볼린저 밴드 돌파 n=49, k=1.1 |
-3.8% | -97.6% | 0.18 | -0.04 | 0.3x | 225 | 46% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=11, mult=3.7 |
-0.0% | -86.7% | 0.18 | -0.00 | 1.0x | 48 | 13% |
| Supertrend period=17, mult=4 |
-9.1% | -99.8% | 0.18 | -0.09 | 0.1x | 125 | 59% |
| ROC 모멘텀 n=114, threshold=-0.03 |
-14.9% | -100.0% | 0.16 | -0.15 | 0.0x | 269 | 68% |
| MACD fast=18, slow=35, signal=15 |
-21.2% | -100.0% | 0.06 | -0.21 | 0.0x | 414 | 51% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-23.0% | -100.0% | 0.03 | -0.23 | 0.0x | 267 | 54% |
| Buy and hold | 18.2% | -96.5% | 0.40 | 0.19 | 166.0x | 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, 14-day) is ≥ 35
- Sell — Sell when direction flips or the trend weakens (ADX < 35)