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; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.4%, MDD -31.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.8%, drawdown -97.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 14.3%, MDD -42.3%, Sharpe 0.64, 20% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 12.5%p higher than buy and hold, while drawdown improves by 54.6%p (CAGR 12.4%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=54, k=2.5 |
14.3% | -42.3% | 0.64 | 0.34 | 9.1x | 34 | 20% |
| Donchian 채널 돌파 entryN=99, exitN=15 |
12.4% | -31.0% | 0.62 | 0.40 | 6.9x | 32 | 15% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=14, mult=3.4 |
13.4% | -34.7% | 0.62 | 0.38 | 8.0x | 30 | 18% |
| ADX / DI 방향성 period=17, threshold=23 |
13.7% | -62.3% | 0.59 | 0.22 | 8.3x | 92 | 27% |
| ROC 모멘텀 n=71, threshold=0.09 |
13.2% | -48.8% | 0.57 | 0.27 | 7.8x | 114 | 31% |
| SMA 크로스오버 fast=17, slow=181 |
13.1% | -64.1% | 0.55 | 0.20 | 7.6x | 34 | 41% |
| EMA 크로스오버 fast=41, slow=44 |
9.5% | -63.8% | 0.44 | 0.15 | 4.5x | 50 | 40% |
| Parabolic SAR step=0.04, maxStep=0.32 |
6.7% | -88.1% | 0.36 | 0.08 | 2.9x | 484 | 48% |
| MACD fast=8, slow=58, signal=11 |
5.9% | -72.7% | 0.34 | 0.08 | 2.6x | 266 | 48% |
| Supertrend period=5, mult=1.7 |
4.6% | -80.7% | 0.30 | 0.06 | 2.1x | 222 | 47% |
| Buy and hold | 1.8% | -97.0% | 0.28 | 0.02 | 1.3x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 54-day average (2.5× volatility)
- Sell — Sell when the close falls back to the 54-day middle average