Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Kajaria Ceramics Limited backtest
10 trend-following strategies were compared on the full daily history of Kajaria Ceramics Limited. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 28.5%, drawdown -76.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 33.1%, MDD -70.9%, Sharpe 0.92, 79% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=31, exitN=73 |
33.1% | -70.9% | 0.92 | 0.47 | 1006.6x | 33 | 79% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=9, mult=1.2 |
26.3% | -65.2% | 0.83 | 0.40 | 283.6x | 123 | 54% |
| EMA 크로스오버 fast=22, slow=23 |
26.7% | -76.8% | 0.83 | 0.35 | 303.2x | 129 | 60% |
| 볼린저 밴드 돌파 n=41, k=0.7 |
25.4% | -67.2% | 0.81 | 0.38 | 236.0x | 202 | 53% |
| Supertrend period=24, mult=2.7 |
25.2% | -63.7% | 0.80 | 0.40 | 228.0x | 135 | 57% |
| SMA 크로스오버 fast=11, slow=56 |
25.4% | -72.3% | 0.80 | 0.35 | 237.6x | 109 | 60% |
| ADX / DI 방향성 period=15, threshold=7 |
25.2% | -67.9% | 0.79 | 0.37 | 228.7x | 415 | 58% |
| ROC 모멘텀 n=104, threshold=-0.02 |
25.2% | -70.1% | 0.78 | 0.36 | 228.5x | 173 | 69% |
| MACD fast=11, slow=44, signal=14 |
19.6% | -56.3% | 0.68 | 0.35 | 76.4x | 314 | 50% |
| Parabolic SAR step=0.015, maxStep=0.24 |
18.1% | -62.5% | 0.64 | 0.29 | 55.4x | 422 | 53% |
| Buy and hold | 28.5% | -76.7% | 0.79 | 0.37 | 425.5x | 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 31 days
- Sell — Sell when price breaks below the lowest low of the last 73 days