Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Hindustan Petroleum Corporation Limited backtest
10 trend-following strategies were compared on the full daily history of Hindustan Petroleum Corporation Limited. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.9%, drawdown -91.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.8%, MDD -18.4%, Sharpe 0.39, 3% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 5.4%, MDD -78.3%, exposure 55%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=24, threshold=39 |
2.8% | -18.4% | 0.39 | 0.15 | 2.3x | 10 | 3% |
| SMA 크로스오버 fast=58, slow=163 |
5.4% | -78.3% | 0.33 | 0.07 | 5.0x | 52 | 55% |
| Donchian 채널 돌파 entryN=47, exitN=25 |
1.7% | -94.7% | 0.29 | 0.02 | 1.7x | 89 | 39% |
| Supertrend period=19, mult=4.3 |
0.6% | -95.5% | 0.25 | 0.01 | 1.2x | 105 | 51% |
| EMA 크로스오버 fast=46, slow=93 |
-0.4% | -96.3% | 0.23 | -0.00 | 0.9x | 66 | 55% |
| 볼린저 밴드 돌파 n=59, k=1.5 |
-0.3% | -95.5% | 0.22 | -0.00 | 0.9x | 132 | 37% |
| ROC 모멘텀 n=48, threshold=0 |
-2.2% | -97.0% | 0.17 | -0.02 | 0.5x | 458 | 53% |
| MACD fast=9, slow=25, signal=15 |
-1.8% | -97.7% | 0.17 | -0.02 | 0.6x | 552 | 49% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-3.6% | -92.5% | 0.15 | -0.04 | 0.3x | 392 | 49% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=18, mult=1 |
-2.7% | -93.9% | 0.15 | -0.03 | 0.4x | 262 | 43% |
| Buy and hold | 8.9% | -91.9% | 0.30 | 0.10 | 13.4x | 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, 24-day) is ≥ 39
- Sell — Sell when direction flips or the trend weakens (ADX < 39)