Trend-Following Backtester · Guide · backtest 한국어
equity · IN
L&T Technology Services Ltd. backtest
10 trend-following strategies were compared on the full daily history of L&T Technology Services Ltd.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 15.2%, MDD -27.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.3%, drawdown -50.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 15.2%, MDD -27.7%, Sharpe 0.74, 36% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 22.3%p (CAGR 15.2%, MDD -27.7%, exposure 36%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=32, threshold=15 |
15.2% | -27.7% | 0.74 | 0.55 | 4.1x | 48 | 36% |
| ROC 모멘텀 n=132, threshold=0.1 |
14.1% | -43.3% | 0.66 | 0.32 | 3.7x | 50 | 40% |
| Donchian 채널 돌파 entryN=97, exitN=32 |
11.9% | -37.1% | 0.62 | 0.32 | 3.1x | 16 | 32% |
| SMA 크로스오버 fast=58, slow=110 |
14.1% | -48.9% | 0.61 | 0.29 | 3.7x | 26 | 54% |
| Supertrend period=24, mult=4.9 |
12.7% | -49.7% | 0.59 | 0.26 | 3.3x | 25 | 55% |
| EMA 크로스오버 fast=14, slow=159 |
10.7% | -46.9% | 0.51 | 0.23 | 2.7x | 30 | 55% |
| 볼린저 밴드 돌파 n=34, k=2.3 |
7.5% | -44.2% | 0.46 | 0.17 | 2.0x | 46 | 29% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=29, mult=3.4 |
3.3% | -14.1% | 0.39 | 0.24 | 1.4x | 8 | 4% |
| MACD fast=19, slow=53, signal=17 |
2.1% | -50.2% | 0.21 | 0.04 | 1.2x | 105 | 53% |
| Parabolic SAR step=0.035, maxStep=0.06 |
2.0% | -47.6% | 0.20 | 0.04 | 1.2x | 163 | 54% |
| Buy and hold | 15.3% | -50.0% | 0.59 | 0.31 | 4.1x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 32-day) is ≥ 15
- Sell — Sell when direction flips or the trend weakens (ADX < 15)