Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Dynamatic Technologies Limited backtest
10 trend-following strategies were compared on the full daily history of Dynamatic Technologies Limited. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 21.0%, MDD -42.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR 12.4%, drawdown -88.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 21.0%, MDD -42.3%, Sharpe 0.75, 43% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 8.7%p higher than buy and hold, while drawdown improves by 46.4%p (CAGR 21.0%, MDD -42.3%, exposure 43%).
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=106, exitN=60 |
21.0% | -42.3% | 0.75 | 0.50 | 45.1x | 17 | 43% |
| SMA 크로스오버 fast=56, slow=102 |
20.8% | -57.1% | 0.71 | 0.36 | 43.6x | 44 | 51% |
| ADX / DI 방향성 period=37, threshold=21 |
13.0% | -47.9% | 0.63 | 0.27 | 11.5x | 36 | 22% |
| 볼린저 밴드 돌파 n=55, k=2.9 |
13.4% | -55.4% | 0.61 | 0.24 | 12.3x | 47 | 26% |
| ROC 모멘텀 n=83, threshold=0.05 |
16.0% | -47.6% | 0.61 | 0.34 | 19.2x | 190 | 44% |
| EMA 크로스오버 fast=74, slow=131 |
15.9% | -53.9% | 0.60 | 0.29 | 19.0x | 21 | 51% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=18, mult=2.6 |
11.2% | -41.8% | 0.52 | 0.27 | 8.3x | 54 | 31% |
| Supertrend period=12, mult=3.7 |
7.4% | -86.3% | 0.38 | 0.09 | 4.1x | 83 | 50% |
| Parabolic SAR step=0.01, maxStep=0.26 |
6.9% | -72.9% | 0.36 | 0.09 | 3.8x | 267 | 50% |
| MACD fast=23, slow=45, signal=18 |
1.3% | -79.9% | 0.21 | 0.02 | 1.3x | 199 | 52% |
| Buy and hold | 12.4% | -88.7% | 0.48 | 0.14 | 10.2x | 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 106 days
- Sell — Sell when price breaks below the lowest low of the last 60 days