Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Gallantt Ispat Limited backtest
10 trend-following strategies were compared on the full daily history of Gallantt Ispat Limited. 2 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 21.2%, MDD -59.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 19.3%, drawdown -80.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 21.2%, MDD -59.6%, Sharpe 0.65, 71% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 21.3%p (CAGR 21.2%, MDD -59.6%, exposure 71%).
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=22, exitN=63 |
21.2% | -59.6% | 0.65 | 0.35 | 51.2x | 28 | 71% |
| ROC 모멘텀 n=96, threshold=-0.1 |
21.0% | -60.8% | 0.64 | 0.35 | 49.7x | 176 | 71% |
| Supertrend period=37, mult=1.6 |
17.6% | -59.4% | 0.62 | 0.30 | 27.5x | 216 | 38% |
| EMA 크로스오버 fast=24, slow=40 |
17.8% | -62.7% | 0.60 | 0.28 | 28.7x | 88 | 51% |
| SMA 크로스오버 fast=7, slow=99 |
17.5% | -72.2% | 0.60 | 0.24 | 27.4x | 90 | 53% |
| ADX / DI 방향성 period=36, threshold=13 |
16.4% | -62.8% | 0.58 | 0.26 | 22.6x | 110 | 51% |
| 볼린저 밴드 돌파 n=21, k=1.8 |
14.6% | -78.4% | 0.56 | 0.19 | 16.3x | 206 | 33% |
| Parabolic SAR step=0.02, maxStep=0.32 |
14.9% | -65.5% | 0.55 | 0.23 | 17.3x | 402 | 48% |
| MACD fast=18, slow=29, signal=20 |
13.9% | -60.4% | 0.52 | 0.23 | 14.4x | 227 | 52% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=27, mult=1 |
13.3% | -70.8% | 0.52 | 0.19 | 12.9x | 158 | 34% |
| Buy and hold | 19.3% | -80.9% | 0.60 | 0.24 | 37.3x | 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 22 days
- Sell — Sell when price breaks below the lowest low of the last 63 days