Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Graphite India Limited backtest
10 trend-following strategies were compared on the full daily history of Graphite India Limited. 6 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 22.1%, MDD -28.6%).
Results by strategy
6 of 10 beat buy and hold (CAGR 21.5%, drawdown -90.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 22.1%, MDD -28.6%, Sharpe 0.99, 19% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 28.8%, MDD -52.3%, exposure 55%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 61.8%p (CAGR 22.1%, MDD -28.6%, exposure 19%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=11, mult=4 |
22.1% | -28.6% | 0.99 | 0.77 | 124.5x | 24 | 19% |
| ADX / DI 방향성 period=51, threshold=22 |
22.0% | -33.4% | 0.94 | 0.66 | 122.6x | 26 | 26% |
| Donchian 채널 돌파 entryN=109, exitN=41 |
26.5% | -42.6% | 0.93 | 0.62 | 291.8x | 26 | 40% |
| SMA 크로스오버 fast=42, slow=96 |
28.8% | -52.3% | 0.93 | 0.55 | 451.4x | 60 | 55% |
| 볼린저 밴드 돌파 n=53, k=3.5 |
16.9% | -37.6% | 0.86 | 0.45 | 43.7x | 20 | 15% |
| Supertrend period=4, mult=3.8 |
25.5% | -64.5% | 0.81 | 0.39 | 241.5x | 83 | 67% |
| EMA 크로스오버 fast=48, slow=61 |
22.4% | -57.3% | 0.78 | 0.39 | 132.2x | 61 | 54% |
| ROC 모멘텀 n=132, threshold=0.08 |
21.4% | -67.4% | 0.77 | 0.32 | 108.0x | 164 | 44% |
| Parabolic SAR step=0.01, maxStep=0.38 |
13.3% | -81.6% | 0.55 | 0.16 | 20.6x | 302 | 51% |
| MACD fast=16, slow=50, signal=12 |
12.0% | -72.9% | 0.51 | 0.16 | 15.4x | 312 | 50% |
| Buy and hold | 21.5% | -90.4% | 0.66 | 0.24 | 109.9x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 58-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 58-day average