Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Edelweiss Financial Services Limited backtest
10 trend-following strategies were compared on the full daily history of Edelweiss Financial Services Limited. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 9.7%, MDD -30.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.9%, drawdown -90.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.8%, MDD -42.0%, Sharpe 0.68, 35% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 15.0%p higher than buy and hold, while drawdown improves by 48.6%p (CAGR 9.7%, MDD -30.7%, exposure 19%).
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=24, exitN=12 |
16.8% | -42.0% | 0.68 | 0.40 | 18.1x | 92 | 35% |
| 볼린저 밴드 돌파 n=41, k=2.6 |
12.6% | -46.4% | 0.61 | 0.27 | 9.1x | 50 | 22% |
| SMA 크로스오버 fast=9, slow=31 |
12.7% | -53.0% | 0.53 | 0.24 | 9.2x | 168 | 48% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=13, mult=2 |
9.7% | -30.7% | 0.52 | 0.31 | 5.6x | 96 | 19% |
| Supertrend period=27, mult=3.4 |
11.0% | -49.3% | 0.50 | 0.22 | 6.9x | 83 | 39% |
| EMA 크로스오버 fast=52, slow=187 |
10.9% | -63.9% | 0.48 | 0.17 | 6.9x | 21 | 50% |
| ADX / DI 방향성 period=23, threshold=14 |
9.2% | -55.2% | 0.44 | 0.17 | 5.1x | 170 | 44% |
| MACD fast=16, slow=50, signal=17 |
9.0% | -74.6% | 0.42 | 0.12 | 5.0x | 208 | 49% |
| ROC 모멘텀 n=102, threshold=0.01 |
6.2% | -79.4% | 0.35 | 0.08 | 3.1x | 183 | 50% |
| Parabolic SAR step=0.015, maxStep=0.14 |
3.5% | -88.4% | 0.27 | 0.04 | 1.9x | 294 | 48% |
| Buy and hold | 1.9% | -90.7% | 0.29 | 0.02 | 1.4x | 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 24 days
- Sell — Sell when price breaks below the lowest low of the last 12 days