Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Hindustan Unilever Limited backtest
10 trend-following strategies were compared on the full daily history of Hindustan Unilever Limited. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.2%, drawdown -66.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 11.9%, MDD -69.0%, Sharpe 0.54, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.09 |
11.9% | -69.0% | 0.54 | 0.17 | 30.7x | 3 | 100% |
| EMA 크로스오버 fast=57, slow=363 |
7.1% | -57.9% | 0.41 | 0.12 | 8.2x | 28 | 71% |
| ADX / DI 방향성 period=43, threshold=17 |
4.0% | -33.2% | 0.38 | 0.12 | 3.3x | 58 | 24% |
| Donchian 채널 돌파 entryN=12, exitN=70 |
6.3% | -60.8% | 0.37 | 0.10 | 6.5x | 92 | 85% |
| SMA 크로스오버 fast=59, slow=152 |
5.4% | -57.2% | 0.34 | 0.09 | 5.0x | 60 | 64% |
| 볼린저 밴드 돌파 n=40, k=3.5 |
1.4% | -35.4% | 0.22 | 0.04 | 1.5x | 30 | 9% |
| Supertrend period=25, mult=4.9 |
2.2% | -73.8% | 0.21 | 0.03 | 1.9x | 88 | 59% |
| Parabolic SAR step=0.005, maxStep=0.1 |
0.1% | -69.4% | 0.10 | 0.00 | 1.0x | 263 | 55% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=16, mult=3.8 |
0.2% | -50.4% | 0.07 | 0.00 | 1.1x | 62 | 18% |
| MACD fast=19, slow=54, signal=17 |
-2.1% | -67.8% | -0.01 | -0.03 | 0.5x | 336 | 49% |
| Buy and hold | 12.2% | -66.2% | 0.55 | 0.18 | 33.8x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 1-day return is greater than -9%
- Sell — Sell when the 1-day return drops to -9% or below