Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Fertilizers & Chemicals Travancore Ltd. backtest
10 trend-following strategies were compared on the full daily history of Fertilizers & Chemicals Travancore Ltd.. 0 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 10.0%, MDD -49.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.8%, drawdown -75.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.0%, MDD -49.2%, Sharpe 0.47, 13% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.8%p lower than buy and hold, while drawdown improves by 25.8%p (CAGR 10.0%, MDD -49.2%, exposure 13%).
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=127, exitN=18 |
10.0% | -49.2% | 0.47 | 0.20 | 9.9x | 30 | 13% |
| MACD fast=17, slow=50, signal=19 |
5.9% | -87.0% | 0.34 | 0.07 | 4.0x | 256 | 49% |
| EMA 크로스오버 fast=76, slow=144 |
5.8% | -85.3% | 0.34 | 0.07 | 3.9x | 34 | 51% |
| SMA 크로스오버 fast=27, slow=55 |
5.0% | -85.0% | 0.33 | 0.06 | 3.2x | 132 | 51% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=13, mult=3.8 |
2.4% | -70.9% | 0.22 | 0.03 | 1.8x | 40 | 15% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-0.3% | -96.1% | 0.21 | -0.00 | 0.9x | 178 | 51% |
| Supertrend period=11, mult=3.5 |
-1.6% | -94.0% | 0.19 | -0.02 | 0.7x | 108 | 58% |
| ADX / DI 방향성 period=25, threshold=19 |
-0.5% | -80.1% | 0.18 | -0.01 | 0.9x | 122 | 41% |
| 볼린저 밴드 돌파 n=16, k=2.7 |
-1.2% | -89.8% | 0.12 | -0.01 | 0.7x | 174 | 19% |
| ROC 모멘텀 n=107, threshold=0.13 |
-3.8% | -88.7% | 0.07 | -0.04 | 0.4x | 246 | 31% |
| Buy and hold | 12.8% | -75.0% | 0.49 | 0.17 | 18.1x | 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 127 days
- Sell — Sell when price breaks below the lowest low of the last 18 days