Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Hindustan Copper Ltd backtest
10 trend-following strategies were compared on the full daily history of Hindustan Copper Ltd. 10 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 12.3%, MDD -31.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR 2.1%, drawdown -97.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.3%, MDD -31.0%, Sharpe 0.62, 15% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 13.6%, MDD -42.3%, exposure 20%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 10.2%p higher than buy and hold, while drawdown improves by 66.0%p (CAGR 12.3%, MDD -31.0%, exposure 15%).
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=15 |
12.3% | -31.0% | 0.62 | 0.40 | 6.9x | 32 | 15% |
| 볼린저 밴드 돌파 n=54, k=2.5 |
13.6% | -42.3% | 0.62 | 0.32 | 8.3x | 35 | 20% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=14, mult=3.4 |
13.3% | -34.7% | 0.62 | 0.38 | 8.0x | 30 | 18% |
| ADX / DI 방향성 period=17, threshold=23 |
13.3% | -62.3% | 0.58 | 0.21 | 8.0x | 94 | 27% |
| ROC 모멘텀 n=71, threshold=0.09 |
13.2% | -48.8% | 0.56 | 0.27 | 7.8x | 114 | 31% |
| SMA 크로스오버 fast=17, slow=181 |
12.4% | -64.1% | 0.53 | 0.19 | 7.0x | 35 | 41% |
| EMA 크로스오버 fast=41, slow=44 |
8.8% | -63.8% | 0.42 | 0.14 | 4.1x | 51 | 40% |
| Parabolic SAR step=0.04, maxStep=0.32 |
6.6% | -88.1% | 0.35 | 0.07 | 2.9x | 488 | 48% |
| MACD fast=8, slow=58, signal=11 |
6.3% | -72.7% | 0.35 | 0.09 | 2.8x | 268 | 48% |
| Supertrend period=5, mult=1.7 |
4.5% | -80.7% | 0.30 | 0.06 | 2.1x | 224 | 47% |
| Buy and hold | 2.1% | -97.0% | 0.29 | 0.02 | 1.4x | 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 15 days