Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Havells India Limited backtest
10 trend-following strategies were compared on the full daily history of Havells India Limited. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 31.4%, MDD -41.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 31.6%, drawdown -84.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 31.8%, MDD -51.4%, Sharpe 1.05, 68% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 33.6%p (CAGR 31.4%, MDD -41.5%, exposure 67%).
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=45, exitN=47 |
31.8% | -51.4% | 1.05 | 0.62 | 791.9x | 37 | 68% |
| EMA 크로스오버 fast=41, slow=73 |
31.4% | -41.5% | 1.03 | 0.76 | 733.1x | 45 | 67% |
| SMA 크로스오버 fast=22, slow=175 |
30.3% | -44.4% | 1.02 | 0.68 | 604.9x | 32 | 68% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=22, mult=1.3 |
24.5% | -48.0% | 0.92 | 0.51 | 198.3x | 134 | 50% |
| Supertrend period=23, mult=4.8 |
25.6% | -38.3% | 0.90 | 0.67 | 248.1x | 59 | 63% |
| 볼린저 밴드 돌파 n=75, k=1.1 |
23.6% | -37.7% | 0.88 | 0.63 | 168.1x | 99 | 52% |
| ROC 모멘텀 n=92, threshold=0.01 |
25.2% | -41.5% | 0.88 | 0.61 | 229.4x | 204 | 63% |
| ADX / DI 방향성 period=32, threshold=17 |
18.3% | -40.3% | 0.80 | 0.45 | 57.6x | 108 | 34% |
| Parabolic SAR step=0.005, maxStep=0.02 |
20.1% | -59.4% | 0.76 | 0.34 | 83.8x | 133 | 59% |
| MACD fast=13, slow=51, signal=19 |
9.1% | -51.6% | 0.45 | 0.18 | 8.2x | 310 | 51% |
| Buy and hold | 31.6% | -84.9% | 0.91 | 0.37 | 768.8x | 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 45 days
- Sell — Sell when price breaks below the lowest low of the last 47 days