Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Glenmark Pharmaceuticals Limited backtest
10 trend-following strategies were compared on the full daily history of Glenmark Pharmaceuticals Limited. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR 35.9%, drawdown -95.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 42.9%, MDD -81.0%, Sharpe 0.59, 69% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=48, slow=216 |
42.9% | -81.0% | 0.59 | 0.53 | 5392.3x | 25 | 69% |
| EMA 크로스오버 fast=37, slow=214 |
38.6% | -81.0% | 0.58 | 0.48 | 2586.8x | 31 | 69% |
| ROC 모멘텀 n=138, threshold=0 |
17.4% | -95.5% | 0.52 | 0.18 | 47.8x | 149 | 69% |
| Supertrend period=4, mult=3.8 |
11.7% | -96.3% | 0.49 | 0.12 | 14.5x | 99 | 60% |
| MACD fast=30, slow=62, signal=14 |
0.9% | -96.2% | 0.42 | 0.01 | 1.2x | 212 | 53% |
| Donchian 채널 돌파 entryN=79, exitN=28 |
1.6% | -96.4% | 0.42 | 0.02 | 1.5x | 56 | 42% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=25, mult=1.1 |
-0.5% | -96.4% | 0.41 | -0.00 | 0.9x | 184 | 50% |
| 볼린저 밴드 돌파 n=34, k=1 |
-1.0% | -96.2% | 0.41 | -0.01 | 0.8x | 252 | 47% |
| ADX / DI 방향성 period=30, threshold=5 |
-1.2% | -96.6% | 0.40 | -0.01 | 0.8x | 302 | 54% |
| Parabolic SAR step=0.025, maxStep=0.04 |
-5.2% | -96.8% | 0.38 | -0.05 | 0.3x | 294 | 52% |
| Buy and hold | 35.9% | -95.0% | 0.41 | 0.38 | 1619.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 48-day average price crosses above the 216-day average
- Sell — Sell (to cash) when the 48-day average falls below the 216-day average