Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Kirloskar Brothers Ltd. backtest
10 trend-following strategies were compared on the full daily history of Kirloskar Brothers Ltd.. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 13.6%, MDD -49.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR 7.6%, drawdown -88.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.3%, MDD -50.5%, Sharpe 0.64, 30% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 16.4%, MDD -64.3%, exposure 51%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 7.7%p higher than buy and hold, while drawdown improves by 37.5%p (CAGR 13.6%, MDD -49.9%, exposure 52%).
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=118, exitN=29 |
15.3% | -50.5% | 0.64 | 0.30 | 18.3x | 28 | 30% |
| SMA 크로스오버 fast=43, slow=92 |
16.4% | -64.3% | 0.61 | 0.25 | 22.4x | 49 | 51% |
| ADX / DI 방향성 period=33, threshold=21 |
11.8% | -57.1% | 0.56 | 0.21 | 9.8x | 48 | 25% |
| ROC 모멘텀 n=77, threshold=-0.03 |
14.4% | -67.0% | 0.56 | 0.21 | 15.7x | 205 | 58% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=27, mult=3.9 |
11.3% | -57.3% | 0.55 | 0.20 | 9.0x | 32 | 20% |
| EMA 크로스오버 fast=80, slow=212 |
13.6% | -49.9% | 0.55 | 0.27 | 13.7x | 17 | 52% |
| 볼린저 밴드 돌파 n=50, k=2.4 |
12.3% | -69.3% | 0.54 | 0.18 | 10.7x | 68 | 30% |
| Supertrend period=9, mult=5 |
12.4% | -67.1% | 0.51 | 0.18 | 11.0x | 41 | 55% |
| MACD fast=38, slow=55, signal=43 |
8.6% | -88.1% | 0.41 | 0.10 | 5.4x | 100 | 51% |
| Parabolic SAR step=0.015, maxStep=0.2 |
7.2% | -63.8% | 0.37 | 0.11 | 4.1x | 333 | 49% |
| Buy and hold | 7.6% | -88.0% | 0.39 | 0.09 | 4.5x | 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 118 days
- Sell — Sell when price breaks below the lowest low of the last 29 days