Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Coforge Limited backtest
10 trend-following strategies were compared on the full daily history of Coforge Limited. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 22.8%, MDD -46.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 21.8%, drawdown -89.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 22.0%, MDD -47.2%, Sharpe 0.78, 65% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 22.8%, MDD -46.2%, exposure 78%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 42.1%p (CAGR 22.8%, MDD -46.2%, exposure 78%).
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=20, exitN=25 |
22.0% | -47.2% | 0.78 | 0.47 | 79.8x | 83 | 65% |
| ROC 모멘텀 n=180, threshold=-0.1 |
22.8% | -46.2% | 0.76 | 0.49 | 92.1x | 95 | 78% |
| Supertrend period=19, mult=3.1 |
20.0% | -49.4% | 0.75 | 0.40 | 55.0x | 107 | 59% |
| SMA 크로스오버 fast=49, slow=248 |
20.6% | -57.0% | 0.71 | 0.36 | 61.3x | 21 | 67% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=29, mult=1.9 |
15.7% | -42.4% | 0.66 | 0.37 | 24.5x | 95 | 44% |
| EMA 크로스오버 fast=41, slow=60 |
17.2% | -49.6% | 0.65 | 0.35 | 33.0x | 61 | 63% |
| 볼린저 밴드 돌파 n=59, k=2 |
12.7% | -45.3% | 0.59 | 0.28 | 13.9x | 87 | 41% |
| ADX / DI 방향성 period=35, threshold=12 |
13.3% | -59.6% | 0.59 | 0.22 | 15.6x | 157 | 48% |
| MACD fast=16, slow=42, signal=18 |
13.5% | -53.7% | 0.57 | 0.25 | 16.4x | 237 | 52% |
| Parabolic SAR step=0.03, maxStep=0.12 |
6.5% | -56.8% | 0.36 | 0.12 | 4.0x | 517 | 53% |
| Buy and hold | 21.8% | -89.3% | 0.67 | 0.24 | 76.1x | 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 20 days
- Sell — Sell when price breaks below the lowest low of the last 25 days