Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Devyani International Ltd. backtest
10 trend-following strategies were compared on the full daily history of Devyani International Ltd.. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.4%, MDD -25.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR 1.0%, drawdown -57.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.9%, MDD -29.9%, Sharpe 0.41, 36% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.9%p higher than buy and hold, while drawdown improves by 28.0%p (CAGR 4.4%, MDD -25.5%, exposure 21%).
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=11, exitN=6 |
6.9% | -29.9% | 0.41 | 0.23 | 1.4x | 48 | 36% |
| Supertrend period=8, mult=2.8 |
6.5% | -39.7% | 0.37 | 0.16 | 1.4x | 30 | 54% |
| 볼린저 밴드 돌파 n=40, k=2.5 |
4.4% | -25.5% | 0.32 | 0.17 | 1.2x | 14 | 21% |
| MACD fast=10, slow=15, signal=17 |
4.1% | -40.7% | 0.29 | 0.10 | 1.2x | 90 | 48% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=22, mult=1.7 |
1.9% | -35.6% | 0.19 | 0.05 | 1.1x | 24 | 28% |
| SMA 크로스오버 fast=11, slow=25 |
-0.1% | -49.8% | 0.12 | -0.00 | 1.0x | 50 | 47% |
| ADX / DI 방향성 period=26, threshold=10 |
-0.5% | -53.9% | 0.12 | -0.01 | 1.0x | 59 | 53% |
| ROC 모멘텀 n=40, threshold=0.08 |
0.2% | -36.9% | 0.11 | 0.01 | 1.0x | 77 | 25% |
| Parabolic SAR step=0.025, maxStep=0.3 |
-1.5% | -49.6% | 0.07 | -0.03 | 0.9x | 110 | 50% |
| EMA 크로스오버 fast=12, slow=43 |
-2.8% | -56.7% | 0.02 | -0.05 | 0.9x | 35 | 48% |
| Buy and hold | 1.0% | -57.9% | 0.21 | 0.02 | 1.0x | 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 11 days
- Sell — Sell when price breaks below the lowest low of the last 6 days