Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Kalpataru Projects International Limited backtest
10 trend-following strategies were compared on the full daily history of Kalpataru Projects International Limited. 5 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester.
Results by strategy
5 of 10 beat buy and hold (CAGR 45.9%, drawdown -95.0%).
Sharpe leader (same as main): Parabolic SAR — CAGR 4.7%, MDD -97.7%, Sharpe 0.45, 53% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 56.3%, MDD -95.0%, exposure 63%.
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.005, maxStep=0.22 |
4.7% | -97.7% | 0.45 | 0.05 | 3.0x | 187 | 53% |
| Donchian 채널 돌파 entryN=46, exitN=68 |
55.8% | -95.0% | 0.36 | 0.59 | 44851.7x | 31 | 70% |
| SMA 크로스오버 fast=39, slow=154 |
56.3% | -95.0% | 0.36 | 0.59 | 48510.4x | 35 | 63% |
| ROC 모멘텀 n=144, threshold=-0.04 |
51.2% | -95.0% | 0.35 | 0.54 | 21989.1x | 85 | 66% |
| EMA 크로스오버 fast=34, slow=181 |
50.5% | -95.0% | 0.35 | 0.53 | 19384.2x | 23 | 65% |
| Supertrend period=12, mult=4.6 |
49.9% | -95.1% | 0.35 | 0.52 | 17587.0x | 49 | 60% |
| MACD fast=17, slow=27, signal=16 |
40.0% | -95.0% | 0.34 | 0.42 | 3420.3x | 285 | 50% |
| ADX / DI 방향성 period=27, threshold=11 |
34.2% | -95.4% | 0.33 | 0.36 | 1218.4x | 265 | 56% |
| 볼린저 밴드 돌파 n=19, k=1.1 |
34.4% | -95.5% | 0.33 | 0.36 | 1266.4x | 357 | 44% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=16, mult=1.2 |
22.6% | -95.8% | 0.27 | 0.24 | 136.6x | 173 | 44% |
| Buy and hold | 45.9% | -95.0% | 0.35 | 0.48 | 9233.4x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots