Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Dr. Lal PathLabs Limited backtest
10 trend-following strategies were compared on the full daily history of Dr. Lal PathLabs Limited. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 18.2%, MDD -29.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 15.5%, drawdown -57.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 17.8%, MDD -29.9%, Sharpe 0.78, 60% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 18.2%, MDD -29.3%, exposure 75%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 27.8%p (CAGR 18.2%, MDD -29.3%, exposure 75%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=18, slow=37 |
17.8% | -29.9% | 0.78 | 0.60 | 5.7x | 37 | 60% |
| Supertrend period=9, mult=3.7 |
17.3% | -40.3% | 0.76 | 0.43 | 5.4x | 29 | 62% |
| Donchian 채널 돌파 entryN=19, exitN=76 |
18.2% | -29.3% | 0.75 | 0.62 | 5.9x | 21 | 75% |
| SMA 크로스오버 fast=28, slow=59 |
15.2% | -32.3% | 0.72 | 0.47 | 4.5x | 41 | 56% |
| ROC 모멘텀 Hold-like · Exposure 97% n=7, threshold=-0.1 |
15.4% | -53.6% | 0.62 | 0.29 | 4.6x | 43 | 97% |
| ADX / DI 방향성 period=41, threshold=6 |
10.9% | -45.2% | 0.54 | 0.24 | 3.0x | 93 | 61% |
| Keltner 채널 돌파 emaPeriod=100, atrPeriod=17, mult=3.1 |
7.7% | -45.9% | 0.47 | 0.17 | 2.2x | 21 | 38% |
| 볼린저 밴드 돌파 n=51, k=2.1 |
6.7% | -32.3% | 0.43 | 0.21 | 2.0x | 43 | 38% |
| MACD fast=6, slow=28, signal=17 |
-1.8% | -56.2% | 0.03 | -0.03 | 0.8x | 201 | 49% |
| Parabolic SAR step=0.04, maxStep=0.14 |
-2.5% | -56.1% | 0.01 | -0.04 | 0.8x | 307 | 52% |
| Buy and hold | 15.5% | -57.7% | 0.61 | 0.27 | 4.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 18-day EMA crosses above the 37-day EMA
- Sell — Sell when the 18-day EMA falls below the 37-day EMA