Trend-Following Backtester · Guide · backtest 한국어
equity · IN
KPIT Technologies Limited backtest
10 trend-following strategies were compared on the full daily history of KPIT Technologies Limited. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 30.2%, MDD -28.1%).
Results by strategy
7 of 10 beat buy and hold (CAGR 27.1%, drawdown -70.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 48.7%, MDD -38.2%, Sharpe 1.39, 52% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 48.8%, MDD -39.0%, exposure 58%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 21.6%p higher than buy and hold, while drawdown improves by 32.5%p (CAGR 30.2%, MDD -28.1%, exposure 40%).
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=90, exitN=48 |
48.7% | -38.2% | 1.39 | 1.28 | 18.0x | 4 | 52% |
| ROC 모멘텀 n=76, threshold=0.09 |
46.4% | -30.9% | 1.37 | 1.50 | 16.0x | 30 | 49% |
| EMA 크로스오버 fast=26, slow=219 |
48.8% | -39.0% | 1.34 | 1.25 | 18.0x | 2 | 58% |
| SMA 크로스오버 fast=16, slow=219 |
48.4% | -39.0% | 1.34 | 1.24 | 17.6x | 4 | 57% |
| ADX / DI 방향성 period=42, threshold=12 |
33.7% | -41.8% | 1.09 | 0.80 | 8.2x | 36 | 48% |
| 볼린저 밴드 돌파 n=45, k=1.3 |
32.7% | -34.7% | 1.09 | 0.94 | 7.8x | 42 | 49% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=23, mult=2.1 |
30.2% | -28.1% | 1.08 | 1.08 | 6.8x | 28 | 40% |
| MACD fast=6, slow=23, signal=17 |
21.8% | -38.7% | 0.81 | 0.56 | 4.2x | 133 | 48% |
| Supertrend period=11, mult=2.6 |
21.4% | -56.0% | 0.75 | 0.38 | 4.1x | 57 | 60% |
| Parabolic SAR step=0.015, maxStep=0.12 |
19.6% | -45.1% | 0.73 | 0.43 | 3.7x | 119 | 53% |
| Buy and hold | 27.1% | -70.7% | 0.77 | 0.38 | 5.7x | 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 90 days
- Sell — Sell when price breaks below the lowest low of the last 48 days