Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Gujarat Mineral Development Corporation Limited backtest
10 trend-following strategies were compared on the full daily history of Gujarat Mineral Development Corporation 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 24.7%, MDD -49.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR 17.0%, drawdown -91.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 33.0%, MDD -64.0%, Sharpe 0.50, 67% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 15.9%p higher than buy and hold, while drawdown improves by 27.5%p (CAGR 24.7%, MDD -49.1%, exposure 27%).
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=57, exitN=97 |
33.0% | -64.0% | 0.50 | 0.52 | 954.2x | 25 | 67% |
| SMA 크로스오버 fast=93, slow=200 |
31.7% | -64.6% | 0.48 | 0.49 | 756.8x | 21 | 55% |
| Supertrend period=7, mult=4.7 |
23.8% | -87.8% | 0.45 | 0.27 | 172.0x | 54 | 60% |
| EMA 크로스오버 fast=56, slow=88 |
23.1% | -86.4% | 0.44 | 0.27 | 150.2x | 34 | 57% |
| ROC 모멘텀 n=117, threshold=0.02 |
23.1% | -84.5% | 0.44 | 0.27 | 149.5x | 140 | 54% |
| MACD fast=5, slow=50, signal=13 |
26.8% | -71.3% | 0.44 | 0.38 | 306.0x | 444 | 50% |
| 볼린저 밴드 돌파 n=55, k=1.1 |
22.4% | -85.0% | 0.43 | 0.26 | 129.1x | 128 | 44% |
| Parabolic SAR step=0.005, maxStep=0.2 |
24.2% | -67.7% | 0.41 | 0.36 | 186.3x | 182 | 49% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=19, mult=3.3 |
24.7% | -49.1% | 0.41 | 0.50 | 204.2x | 52 | 27% |
| ADX / DI 방향성 period=9, threshold=21 |
18.9% | -69.9% | 0.36 | 0.27 | 64.5x | 466 | 44% |
| Buy and hold | 17.0% | -91.5% | 0.42 | 0.19 | 44.2x | 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 57 days
- Sell — Sell when price breaks below the lowest low of the last 97 days