Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Dixon Technologies (India) Ltd. backtest
10 trend-following strategies were compared on the full daily history of Dixon Technologies (India) Ltd.. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 50.0%, MDD -21.6%).
Results by strategy
7 of 10 beat buy and hold (CAGR 43.6%, drawdown -57.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 50.0%, MDD -21.6%, Sharpe 1.70, 47% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 56.3%, MDD -32.6%, exposure 62%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.4%p higher than buy and hold, while drawdown improves by 35.8%p (CAGR 50.0%, MDD -21.6%, exposure 47%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=76, k=2.1 |
50.0% | -21.6% | 1.70 | 2.31 | 37.8x | 13 | 47% |
| ROC 모멘텀 n=55, threshold=0.01 |
56.3% | -32.6% | 1.66 | 1.73 | 54.4x | 49 | 62% |
| EMA 크로스오버 fast=13, slow=27 |
54.0% | -37.4% | 1.64 | 1.44 | 47.8x | 43 | 62% |
| Keltner 채널 돌파 emaPeriod=66, atrPeriod=9, mult=2 |
50.5% | -25.7% | 1.63 | 1.96 | 38.9x | 21 | 53% |
| Supertrend period=21, mult=4.2 |
48.5% | -35.4% | 1.59 | 1.37 | 34.5x | 27 | 57% |
| Donchian 채널 돌파 entryN=42, exitN=36 |
48.8% | -35.4% | 1.51 | 1.38 | 35.0x | 19 | 62% |
| SMA 크로스오버 fast=35, slow=121 |
44.4% | -34.6% | 1.38 | 1.28 | 26.9x | 19 | 62% |
| Parabolic SAR step=0.025, maxStep=0.14 |
35.3% | -47.6% | 1.20 | 0.74 | 14.9x | 191 | 53% |
| MACD fast=19, slow=48, signal=15 |
30.3% | -46.7% | 1.11 | 0.65 | 10.7x | 88 | 55% |
| ADX / DI 방향성 period=28, threshold=13 |
30.0% | -43.0% | 1.09 | 0.70 | 10.5x | 87 | 53% |
| Buy and hold | 43.6% | -57.4% | 1.13 | 0.76 | 25.5x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 76-day average (2.1× volatility)
- Sell — Sell when the close falls back to the 76-day middle average