Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Godrej Industries Limited backtest
10 trend-following strategies were compared on the full daily history of Godrej Industries Limited. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 29.8%, MDD -41.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 27.4%, drawdown -90.0%).
Sharpe leader (same as main): Supertrend — CAGR 29.8%, MDD -41.2%, Sharpe 0.94, 60% exposure.
Return/drawdown alternative: Supertrend — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 48.9%p (CAGR 29.8%, MDD -41.2%, exposure 60%).
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=14, mult=5 |
29.8% | -41.2% | 0.94 | 0.72 | 561.4x | 52 | 60% |
| 볼린저 밴드 돌파 n=27, k=1.7 |
23.8% | -45.5% | 0.86 | 0.52 | 178.6x | 192 | 37% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=33, mult=0.7 |
25.2% | -58.9% | 0.86 | 0.43 | 230.7x | 256 | 48% |
| ROC 모멘텀 n=20, threshold=-0.11 |
29.4% | -54.7% | 0.85 | 0.54 | 514.7x | 221 | 89% |
| MACD fast=5, slow=25, signal=13 |
23.8% | -58.5% | 0.81 | 0.41 | 175.5x | 500 | 49% |
| Donchian 채널 돌파 entryN=29, exitN=24 |
23.9% | -51.0% | 0.81 | 0.47 | 180.2x | 92 | 55% |
| Parabolic SAR step=0.05, maxStep=0.18 |
22.0% | -74.7% | 0.77 | 0.30 | 125.1x | 760 | 50% |
| SMA 크로스오버 fast=48, slow=85 |
21.6% | -55.4% | 0.75 | 0.39 | 114.5x | 71 | 58% |
| EMA 크로스오버 fast=50, slow=189 |
22.1% | -58.6% | 0.74 | 0.38 | 126.4x | 31 | 67% |
| ADX / DI 방향성 period=16, threshold=27 |
16.2% | -42.9% | 0.73 | 0.38 | 38.3x | 124 | 25% |
| Buy and hold | 27.4% | -90.0% | 0.77 | 0.30 | 354.5x | 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) — 14-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)