Trend-Following Backtester · Guide · backtest 한국어
equity · IN
K.P.R. Mill Limited backtest
10 trend-following strategies were compared on the full daily history of K.P.R. Mill Limited. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 26.3%, MDD -38.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR 24.8%, drawdown -89.2%).
Sharpe leader (same as main): Supertrend — CAGR 34.8%, MDD -41.9%, Sharpe 1.09, 61% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 34.9%, MDD -47.0%, exposure 67%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 10.0%p higher than buy and hold, while drawdown improves by 47.3%p (CAGR 26.3%, MDD -38.6%, exposure 46%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=10, mult=3.7 |
34.8% | -41.9% | 1.09 | 0.83 | 291.4x | 45 | 61% |
| EMA 크로스오버 fast=9, slow=106 |
32.9% | -41.0% | 1.07 | 0.80 | 223.4x | 51 | 61% |
| Donchian 채널 돌파 entryN=21, exitN=37 |
34.9% | -47.0% | 1.05 | 0.74 | 297.7x | 43 | 67% |
| SMA 크로스오버 fast=25, slow=118 |
31.5% | -41.4% | 1.04 | 0.76 | 181.2x | 39 | 59% |
| ADX / DI 방향성 period=75, threshold=9 |
30.5% | -48.1% | 0.99 | 0.63 | 157.2x | 83 | 61% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=29, mult=2.1 |
26.2% | -48.2% | 0.97 | 0.54 | 83.1x | 66 | 45% |
| 볼린저 밴드 돌파 n=66, k=1.7 |
26.3% | -38.6% | 0.95 | 0.68 | 84.4x | 60 | 46% |
| ROC 모멘텀 n=65, threshold=0.13 |
24.9% | -50.2% | 0.94 | 0.50 | 68.9x | 167 | 39% |
| Parabolic SAR step=0.005, maxStep=0.24 |
21.6% | -48.1% | 0.78 | 0.45 | 41.3x | 150 | 54% |
| MACD fast=10, slow=34, signal=19 |
15.7% | -62.6% | 0.62 | 0.25 | 16.1x | 259 | 50% |
| Buy and hold | 24.8% | -89.2% | 0.73 | 0.28 | 67.5x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 10-day volatility, 3.7× band
- Sell — Sell when price drops below the trend line (flips down)