Trend-Following Backtester · Guide · backtest 한국어
equity · IN
IPCA Laboratories Limited backtest
10 trend-following strategies were compared on the full daily history of IPCA Laboratories Limited. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 19.2%, MDD -56.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 19.1%, drawdown -81.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 19.7%, MDD -72.7%, Sharpe 0.67, 58% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 8.3%p (CAGR 19.2%, MDD -56.2%, exposure 59%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=22, slow=91 |
19.7% | -72.7% | 0.67 | 0.27 | 250.3x | 81 | 58% |
| EMA 크로스오버 fast=40, slow=56 |
19.5% | -72.8% | 0.66 | 0.27 | 233.9x | 73 | 59% |
| Donchian 채널 돌파 entryN=49, exitN=52 |
19.2% | -56.2% | 0.65 | 0.34 | 217.2x | 49 | 59% |
| Keltner 채널 돌파 emaPeriod=112, atrPeriod=7, mult=1.3 |
16.5% | -55.2% | 0.60 | 0.30 | 107.5x | 119 | 54% |
| ADX / DI 방향성 period=29, threshold=18 |
15.1% | -60.0% | 0.59 | 0.25 | 74.8x | 121 | 35% |
| Supertrend period=22, mult=5 |
15.5% | -67.4% | 0.57 | 0.23 | 83.0x | 75 | 56% |
| ROC 모멘텀 n=101, threshold=0.05 |
14.4% | -61.4% | 0.55 | 0.23 | 62.2x | 247 | 54% |
| 볼린저 밴드 돌파 n=20, k=1.5 |
9.8% | -59.3% | 0.44 | 0.16 | 17.5x | 359 | 40% |
| MACD fast=8, slow=26, signal=18 |
7.5% | -63.4% | 0.37 | 0.12 | 9.1x | 513 | 50% |
| Parabolic SAR step=0.02, maxStep=0.28 |
5.0% | -76.7% | 0.30 | 0.07 | 4.5x | 633 | 50% |
| Buy and hold | 19.1% | -81.0% | 0.61 | 0.24 | 211.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 22-day average price crosses above the 91-day average
- Sell — Sell (to cash) when the 22-day average falls below the 91-day average