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 26.4%, MDD -38.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR 24.2%, drawdown -89.2%).
Sharpe leader (same as main): Supertrend — CAGR 34.2%, MDD -41.9%, Sharpe 1.07, 61% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 34.3%, 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 26.4%, MDD -38.6%, exposure 47%).
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 |
34.2% | -41.9% | 1.07 | 0.82 | 259.8x | 45 | 61% |
| EMA 크로스오버 fast=9, slow=106 |
32.3% | -41.0% | 1.05 | 0.79 | 199.1x | 51 | 61% |
| Donchian 채널 돌파 entryN=21, exitN=37 |
34.3% | -47.0% | 1.04 | 0.73 | 265.4x | 43 | 67% |
| SMA 크로스오버 fast=25, slow=118 |
30.8% | -41.4% | 1.02 | 0.74 | 161.6x | 39 | 59% |
| ADX / DI 방향성 period=75, threshold=9 |
29.8% | -48.1% | 0.97 | 0.62 | 140.1x | 83 | 60% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=29, mult=2.1 |
26.3% | -48.2% | 0.97 | 0.55 | 83.1x | 66 | 46% |
| 볼린저 밴드 돌파 n=66, k=1.7 |
26.4% | -38.6% | 0.95 | 0.68 | 84.4x | 60 | 47% |
| ROC 모멘텀 n=65, threshold=0.13 |
24.6% | -49.9% | 0.93 | 0.49 | 63.8x | 166 | 39% |
| Parabolic SAR step=0.005, maxStep=0.24 |
21.7% | -48.1% | 0.78 | 0.45 | 41.3x | 150 | 54% |
| MACD fast=10, slow=34, signal=19 |
15.5% | -62.6% | 0.62 | 0.25 | 15.3x | 258 | 50% |
| Buy and hold | 24.2% | -89.2% | 0.72 | 0.27 | 60.2x | 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)