Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Godfrey Phillips India Ltd. backtest
10 trend-following strategies were compared on the full daily history of Godfrey Phillips India Ltd.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 17.4%, drawdown -74.2%).
Sharpe leader (same as main): Supertrend — CAGR 16.9%, MDD -68.0%, Sharpe 0.50, 56% 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=8, mult=3.5 |
16.9% | -68.0% | 0.50 | 0.25 | 74.3x | 117 | 56% |
| Donchian 채널 돌파 entryN=15, exitN=56 |
12.3% | -84.1% | 0.43 | 0.15 | 25.0x | 85 | 76% |
| 볼린저 밴드 돌파 n=20, k=2 |
7.9% | -74.9% | 0.42 | 0.11 | 8.2x | 254 | 31% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=10, mult=1.3 |
7.4% | -77.1% | 0.40 | 0.10 | 7.2x | 218 | 35% |
| MACD fast=12, slow=49, signal=22 |
7.4% | -75.8% | 0.40 | 0.10 | 7.3x | 284 | 47% |
| EMA 크로스오버 fast=24, slow=28 |
6.9% | -71.5% | 0.39 | 0.10 | 6.3x | 138 | 51% |
| SMA 크로스오버 fast=36, slow=89 |
6.1% | -86.9% | 0.37 | 0.07 | 5.1x | 86 | 51% |
| ADX / DI 방향성 period=26, threshold=23 |
4.9% | -55.7% | 0.31 | 0.09 | 3.8x | 110 | 26% |
| Parabolic SAR step=0.015, maxStep=0.22 |
4.0% | -79.4% | 0.27 | 0.05 | 3.0x | 456 | 47% |
| ROC 모멘텀 n=74, threshold=0.05 |
1.9% | -85.6% | 0.24 | 0.02 | 1.7x | 290 | 44% |
| Buy and hold | 17.4% | -74.2% | 0.51 | 0.23 | 84.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 8-day volatility, 3.5× band
- Sell — Sell when price drops below the trend line (flips down)