Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Divi's Laboratories Limited backtest
10 trend-following strategies were compared on the full daily history of Divi's Laboratories Limited. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 34.6%, drawdown -59.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 31.0%, MDD -56.2%, Sharpe 0.99, 93% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 31.5%, MDD -60.3%, exposure 94%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=7, threshold=-0.07 |
31.0% | -56.2% | 0.99 | 0.55 | 560.9x | 253 | 93% |
| Donchian 채널 돌파 entryN=8, exitN=103 |
31.5% | -60.3% | 0.99 | 0.52 | 621.9x | 37 | 94% |
| Supertrend period=13, mult=4.5 |
23.9% | -48.5% | 0.96 | 0.49 | 152.4x | 63 | 56% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=29, mult=1.8 |
20.7% | -30.0% | 0.94 | 0.69 | 83.4x | 117 | 45% |
| MACD fast=40, slow=76, signal=19 |
22.3% | -38.6% | 0.93 | 0.58 | 112.2x | 135 | 53% |
| Parabolic SAR step=0.005, maxStep=0.02 |
23.4% | -50.4% | 0.92 | 0.46 | 138.7x | 123 | 61% |
| 볼린저 밴드 돌파 n=33, k=0.9 |
21.3% | -36.7% | 0.90 | 0.58 | 93.2x | 235 | 54% |
| EMA 크로스오버 fast=10, slow=36 |
22.4% | -47.4% | 0.89 | 0.47 | 114.1x | 161 | 63% |
| SMA 크로스오버 fast=15, slow=174 |
21.4% | -54.2% | 0.85 | 0.40 | 95.5x | 57 | 67% |
| ADX / DI 방향성 period=27, threshold=14 |
15.1% | -52.4% | 0.73 | 0.29 | 27.3x | 207 | 41% |
| Buy and hold | 34.6% | -59.5% | 1.02 | 0.58 | 1069.0x | 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 7-day return is greater than -7%
- Sell — Sell when the 7-day return drops to -7% or below