Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Godrej Properties Limited backtest
10 trend-following strategies were compared on the full daily history of Godrej Properties Limited. 3 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 14.6%, MDD -40.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 13.7%, drawdown -59.5%).
Sharpe leader (same as main): Supertrend — CAGR 15.5%, MDD -57.9%, Sharpe 0.67, 62% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 1.6%p (CAGR 14.6%, MDD -40.4%, exposure 57%).
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=6, mult=5 |
15.5% | -57.9% | 0.67 | 0.27 | 10.9x | 37 | 62% |
| EMA 크로스오버 fast=39, slow=75 |
14.6% | -40.4% | 0.65 | 0.36 | 9.6x | 31 | 57% |
| Donchian 채널 돌파 entryN=27, exitN=41 |
14.9% | -48.6% | 0.64 | 0.31 | 9.9x | 43 | 62% |
| MACD fast=24, slow=40, signal=19 |
12.9% | -43.9% | 0.61 | 0.29 | 7.5x | 137 | 51% |
| SMA 크로스오버 fast=37, slow=91 |
13.4% | -57.7% | 0.61 | 0.23 | 8.1x | 43 | 55% |
| 볼린저 밴드 돌파 n=39, k=1.4 |
12.1% | -44.5% | 0.60 | 0.27 | 6.7x | 111 | 42% |
| ADX / DI 방향성 period=29, threshold=17 |
11.3% | -34.1% | 0.60 | 0.33 | 5.9x | 95 | 40% |
| ROC 모멘텀 n=72, threshold=0.01 |
12.0% | -55.0% | 0.57 | 0.22 | 6.6x | 171 | 53% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=28, mult=1.3 |
10.6% | -42.1% | 0.54 | 0.25 | 5.3x | 105 | 42% |
| Parabolic SAR step=0.01, maxStep=0.14 |
6.4% | -64.4% | 0.37 | 0.10 | 2.8x | 215 | 51% |
| Buy and hold | 13.7% | -59.5% | 0.54 | 0.23 | 8.4x | 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) — 6-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)