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 22.1%, MDD -46.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 21.1%, drawdown -89.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 21.3%, MDD -47.2%, Sharpe 0.76, 65% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 22.1%, 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 22.1%, 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 |
21.3% | -47.2% | 0.76 | 0.45 | 69.2x | 83 | 65% |
| ROC 모멘텀 n=180, threshold=-0.1 |
22.1% | -46.2% | 0.74 | 0.48 | 79.8x | 95 | 78% |
| Supertrend period=19, mult=3.1 |
19.3% | -49.4% | 0.73 | 0.39 | 47.7x | 107 | 59% |
| SMA 크로스오버 fast=49, slow=248 |
20.2% | -57.0% | 0.70 | 0.35 | 56.2x | 20 | 67% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=29, mult=1.9 |
15.0% | -42.4% | 0.64 | 0.35 | 21.2x | 95 | 44% |
| EMA 크로스오버 fast=41, slow=60 |
16.5% | -49.6% | 0.63 | 0.33 | 28.6x | 61 | 63% |
| ADX / DI 방향성 period=35, threshold=12 |
12.8% | -59.6% | 0.57 | 0.21 | 14.0x | 156 | 48% |
| 볼린저 밴드 돌파 n=59, k=2 |
12.0% | -45.3% | 0.56 | 0.27 | 12.1x | 87 | 41% |
| MACD fast=16, slow=42, signal=18 |
12.9% | -53.7% | 0.55 | 0.24 | 14.2x | 237 | 52% |
| Parabolic SAR step=0.03, maxStep=0.12 |
5.9% | -56.8% | 0.34 | 0.10 | 3.5x | 517 | 53% |
| Buy and hold | 21.1% | -89.3% | 0.66 | 0.24 | 66.0x | 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