Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Hatsun Agro Product Limited backtest
10 trend-following strategies were compared on the full daily history of Hatsun Agro Product Limited. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 16.8%, MDD -26.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 16.9%, drawdown -54.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.8%, MDD -26.0%, Sharpe 0.86, 39% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.0%p lower than buy and hold, while drawdown improves by 28.4%p (CAGR 16.8%, MDD -26.0%, exposure 39%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=99, exitN=23 |
16.8% | -26.0% | 0.86 | 0.65 | 6.6x | 14 | 39% |
| ADX / DI 방향성 period=24, threshold=35 |
11.6% | -19.2% | 0.79 | 0.60 | 3.8x | 20 | 17% |
| EMA 크로스오버 fast=24, slow=30 |
16.1% | -35.2% | 0.73 | 0.46 | 6.1x | 50 | 56% |
| SMA 크로스오버 fast=51, slow=211 |
15.0% | -42.8% | 0.72 | 0.35 | 5.5x | 12 | 54% |
| Supertrend period=16, mult=4.2 |
14.3% | -34.4% | 0.67 | 0.42 | 5.1x | 26 | 57% |
| 볼린저 밴드 돌파 n=74, k=3.3 |
10.0% | -21.8% | 0.63 | 0.46 | 3.2x | 18 | 26% |
| ROC 모멘텀 n=175, threshold=0.09 |
8.7% | -53.3% | 0.48 | 0.16 | 2.7x | 64 | 49% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=16, mult=2.6 |
6.6% | -47.0% | 0.42 | 0.14 | 2.2x | 36 | 32% |
| MACD fast=17, slow=47, signal=14 |
1.9% | -55.7% | 0.20 | 0.03 | 1.3x | 140 | 48% |
| Parabolic SAR step=0.025, maxStep=0.34 |
-1.1% | -75.9% | 0.08 | -0.01 | 0.9x | 242 | 50% |
| Buy and hold | 16.9% | -54.4% | 0.64 | 0.31 | 6.6x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 99 days
- Sell — Sell when price breaks below the lowest low of the last 23 days