Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Diamond Power Infrastructure Limited backtest
10 trend-following strategies were compared on the full daily history of Diamond Power Infrastructure Limited. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 40.6%, MDD -50.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -10.4%, drawdown -99.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 65.4%, MDD -66.0%, Sharpe 1.81, 19% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 75.8%p higher than buy and hold, while drawdown improves by 33.9%p (CAGR 40.6%, MDD -50.6%, exposure 25%).
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=6, threshold=0.09 |
65.4% | -66.0% | 1.81 | 0.99 | 2880.9x | 247 | 19% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=26, mult=1.8 |
40.6% | -50.6% | 1.49 | 0.80 | 220.0x | 85 | 25% |
| MACD fast=7, slow=53, signal=5 |
47.0% | -83.4% | 1.10 | 0.56 | 446.4x | 329 | 46% |
| Supertrend period=15, mult=2.4 |
33.6% | -88.1% | 1.05 | 0.38 | 98.7x | 119 | 44% |
| ADX / DI 방향성 period=9, threshold=28 |
30.4% | -88.1% | 1.04 | 0.35 | 67.0x | 151 | 34% |
| Parabolic SAR step=0.045, maxStep=0.22 |
30.5% | -88.1% | 0.92 | 0.35 | 67.9x | 401 | 50% |
| 볼린저 밴드 돌파 n=18, k=1.4 |
24.0% | -88.1% | 0.89 | 0.27 | 30.2x | 159 | 37% |
| SMA 크로스오버 fast=1, slow=126 |
19.0% | -87.2% | 0.70 | 0.22 | 15.8x | 97 | 39% |
| Donchian 채널 돌파 entryN=43, exitN=18 |
13.2% | -91.4% | 0.67 | 0.14 | 7.1x | 47 | 34% |
| EMA 크로스오버 fast=7, slow=24 |
13.2% | -91.1% | 0.64 | 0.15 | 7.1x | 133 | 46% |
| Buy and hold | -10.4% | -99.9% | 0.24 | -0.10 | 0.2x | 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 6-day return is greater than 9%
- Sell — Sell when the 6-day return drops to 9% or below