Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Happiest Minds Technologies Ltd. backtest
10 trend-following strategies were compared on the full daily history of Happiest Minds Technologies Ltd.. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 19.1%, MDD -15.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR 0.2%, drawdown -77.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 19.1%, MDD -15.3%, Sharpe 1.13, 12% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 22.2%, MDD -23.3%, exposure 15%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 18.9%p higher than buy and hold, while drawdown improves by 62.6%p (CAGR 19.1%, MDD -15.3%, exposure 12%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=25, threshold=27 |
19.1% | -15.3% | 1.13 | 1.25 | 2.8x | 4 | 12% |
| Donchian 채널 돌파 entryN=96, exitN=15 |
21.6% | -16.8% | 1.13 | 1.29 | 3.2x | 4 | 12% |
| 볼린저 밴드 돌파 n=46, k=3.5 |
22.2% | -23.3% | 1.10 | 0.96 | 3.2x | 6 | 15% |
| ROC 모멘텀 n=131, threshold=0.22 |
16.9% | -21.2% | 1.03 | 0.80 | 2.5x | 2 | 13% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=14, mult=1.5 |
21.4% | -26.1% | 0.97 | 0.82 | 3.1x | 18 | 23% |
| SMA 크로스오버 fast=25, slow=69 |
19.6% | -35.5% | 0.91 | 0.55 | 2.9x | 17 | 30% |
| EMA 크로스오버 fast=26, slow=47 |
17.4% | -43.1% | 0.82 | 0.40 | 2.6x | 17 | 31% |
| Supertrend period=27, mult=4 |
14.3% | -55.7% | 0.66 | 0.26 | 2.2x | 17 | 36% |
| MACD fast=39, slow=64, signal=14 |
11.4% | -58.7% | 0.54 | 0.19 | 1.9x | 37 | 47% |
| Parabolic SAR step=0.005, maxStep=0.34 |
8.6% | -58.0% | 0.44 | 0.15 | 1.6x | 41 | 46% |
| Buy and hold | 0.2% | -77.9% | 0.18 | 0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 25-day) is ≥ 27
- Sell — Sell when direction flips or the trend weakens (ADX < 27)