Trend-Following Backtester · Guide · backtest 한국어
equity · IN
E.I.D.-Parry (India) Limited backtest
10 trend-following strategies were compared on the full daily history of E.I.D.-Parry (India) Limited. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 21.1%, MDD -51.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 19.2%, drawdown -72.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 24.9%, MDD -52.6%, Sharpe 0.83, 67% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.6%p higher than buy and hold, while drawdown improves by 19.5%p (CAGR 21.1%, MDD -51.5%, exposure 61%).
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=34, exitN=73 |
24.9% | -52.6% | 0.83 | 0.47 | 210.1x | 28 | 67% |
| EMA 크로스오버 fast=8, slow=168 |
22.8% | -54.8% | 0.80 | 0.42 | 141.0x | 42 | 61% |
| SMA 크로스오버 fast=6, slow=174 |
21.1% | -51.5% | 0.75 | 0.41 | 101.1x | 50 | 61% |
| ROC 모멘텀 n=92, threshold=-0.04 |
19.5% | -57.3% | 0.70 | 0.34 | 72.8x | 168 | 65% |
| Supertrend period=11, mult=4.1 |
15.6% | -66.3% | 0.62 | 0.24 | 33.0x | 64 | 59% |
| Keltner 채널 돌파 emaPeriod=69, atrPeriod=19, mult=1.2 |
13.9% | -61.8% | 0.60 | 0.23 | 23.1x | 138 | 49% |
| ADX / DI 방향성 period=48, threshold=7 |
15.0% | -50.1% | 0.59 | 0.30 | 28.9x | 214 | 64% |
| 볼린저 밴드 돌파 n=55, k=1.3 |
12.4% | -55.4% | 0.56 | 0.22 | 16.6x | 132 | 43% |
| Parabolic SAR step=0.01, maxStep=0.18 |
7.9% | -60.4% | 0.41 | 0.13 | 6.2x | 319 | 52% |
| MACD fast=12, slow=53, signal=30 |
7.7% | -76.0% | 0.40 | 0.10 | 6.0x | 259 | 50% |
| Buy and hold | 19.2% | -72.1% | 0.64 | 0.27 | 69.4x | 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 34 days
- Sell — Sell when price breaks below the lowest low of the last 73 days