Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Dilip Buildcon Ltd. backtest
10 trend-following strategies were compared on the full daily history of Dilip Buildcon Ltd.. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 6.4%, MDD -14.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR 5.4%, drawdown -86.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 22.1%, MDD -49.3%, Sharpe 0.82, 42% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 16.6%p higher than buy and hold, while drawdown improves by 37.2%p (CAGR 6.4%, MDD -14.4%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=93, threshold=0.09 |
22.1% | -49.3% | 0.82 | 0.45 | 7.3x | 62 | 42% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=16, mult=2.3 |
15.9% | -31.6% | 0.73 | 0.50 | 4.4x | 36 | 27% |
| Donchian 채널 돌파 entryN=77, exitN=63 |
19.2% | -49.6% | 0.72 | 0.39 | 5.8x | 12 | 46% |
| EMA 크로스오버 fast=43, slow=75 |
18.6% | -48.7% | 0.71 | 0.38 | 5.5x | 16 | 47% |
| SMA 크로스오버 fast=27, slow=116 |
17.5% | -55.6% | 0.66 | 0.31 | 5.0x | 26 | 51% |
| 볼린저 밴드 돌파 n=48, k=3.2 |
12.9% | -41.4% | 0.65 | 0.31 | 3.3x | 24 | 25% |
| ADX / DI 방향성 period=36, threshold=34 |
6.4% | -14.4% | 0.58 | 0.44 | 1.9x | 4 | 6% |
| Supertrend period=13, mult=2.3 |
12.7% | -58.8% | 0.53 | 0.22 | 3.3x | 83 | 49% |
| MACD fast=6, slow=58, signal=5 |
9.0% | -63.2% | 0.42 | 0.14 | 2.4x | 269 | 47% |
| Parabolic SAR step=0.045, maxStep=0.26 |
6.3% | -61.9% | 0.35 | 0.10 | 1.8x | 323 | 50% |
| Buy and hold | 5.4% | -86.5% | 0.35 | 0.06 | 1.7x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 93-day return is greater than 9%
- Sell — Sell when the 93-day return drops to 9% or below