Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Himadri Speciality Chemical Ltd. backtest
10 trend-following strategies were compared on the full daily history of Himadri Speciality Chemical Ltd.. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 14.6%, MDD -27.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR 18.0%, drawdown -91.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 29.5%, MDD -56.3%, Sharpe 0.99, 39% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 31.1%, MDD -54.6%, exposure 51%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.5%p higher than buy and hold, while drawdown improves by 35.0%p (CAGR 14.6%, MDD -27.5%, exposure 13%).
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=96, exitN=36 |
29.5% | -56.3% | 0.99 | 0.52 | 150.9x | 23 | 39% |
| SMA 크로스오버 fast=34, slow=130 |
31.1% | -54.6% | 0.94 | 0.57 | 191.1x | 33 | 51% |
| EMA 크로스오버 fast=41, slow=117 |
29.6% | -65.0% | 0.92 | 0.46 | 153.9x | 31 | 52% |
| ROC 모멘텀 n=112, threshold=0.05 |
29.3% | -61.6% | 0.91 | 0.48 | 146.4x | 129 | 49% |
| ADX / DI 방향성 period=33, threshold=26 |
14.6% | -27.5% | 0.88 | 0.53 | 14.1x | 18 | 13% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=16, mult=2.1 |
23.1% | -70.4% | 0.82 | 0.33 | 56.9x | 69 | 35% |
| 볼린저 밴드 돌파 n=41, k=2.2 |
22.6% | -59.2% | 0.80 | 0.38 | 52.5x | 87 | 32% |
| Supertrend period=21, mult=5 |
21.1% | -83.4% | 0.70 | 0.25 | 41.1x | 45 | 56% |
| MACD fast=18, slow=57, signal=16 |
13.2% | -76.5% | 0.52 | 0.17 | 11.1x | 199 | 47% |
| Parabolic SAR step=0.04, maxStep=0.34 |
5.3% | -78.8% | 0.32 | 0.07 | 2.7x | 602 | 48% |
| Buy and hold | 18.0% | -91.3% | 0.58 | 0.20 | 24.9x | 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 96 days
- Sell — Sell when price breaks below the lowest low of the last 36 days