Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Granules India Limited backtest
10 trend-following strategies were compared on the full daily history of Granules India Limited. 2 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 23.6%, MDD -40.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 22.9%, drawdown -78.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 23.6%, MDD -40.0%, Sharpe 0.88, 45% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 38.1%p (CAGR 23.6%, MDD -40.0%, exposure 45%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=59, k=1.2 |
23.6% | -40.0% | 0.88 | 0.59 | 89.7x | 90 | 45% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=18, mult=1.5 |
21.8% | -36.5% | 0.84 | 0.60 | 65.3x | 96 | 44% |
| Donchian 채널 돌파 entryN=29, exitN=33 |
23.6% | -45.7% | 0.83 | 0.52 | 89.1x | 55 | 55% |
| ROC 모멘텀 n=65, threshold=0.12 |
18.8% | -40.8% | 0.77 | 0.46 | 38.6x | 152 | 37% |
| Supertrend period=17, mult=3.4 |
19.9% | -53.8% | 0.75 | 0.37 | 46.9x | 83 | 53% |
| SMA 크로스오버 fast=33, slow=93 |
20.4% | -60.4% | 0.75 | 0.34 | 51.4x | 59 | 55% |
| EMA 크로스오버 fast=18, slow=43 |
19.6% | -48.4% | 0.73 | 0.40 | 44.4x | 95 | 54% |
| ADX / DI 방향성 period=34, threshold=19 |
12.2% | -48.3% | 0.60 | 0.25 | 11.6x | 63 | 29% |
| MACD fast=10, slow=38, signal=9 |
5.0% | -70.8% | 0.31 | 0.07 | 2.8x | 396 | 50% |
| Parabolic SAR step=0.015, maxStep=0.3 |
1.5% | -86.2% | 0.20 | 0.02 | 1.4x | 374 | 53% |
| Buy and hold | 22.9% | -78.1% | 0.71 | 0.29 | 79.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 59-day average (1.2× volatility)
- Sell — Sell when the close falls back to the 59-day middle average