Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Lupin Limited backtest
10 trend-following strategies were compared on the full daily history of Lupin Limited. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 25.1%, drawdown -74.0%).
Sharpe leader (same as main): Supertrend — CAGR 17.4%, MDD -66.9%, Sharpe 0.77, 54% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 22.7%, MDD -59.9%, exposure 66%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=29, mult=4.5 |
17.4% | -66.9% | 0.77 | 0.26 | 54.5x | 62 | 54% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=27, mult=3.8 |
9.9% | -26.6% | 0.71 | 0.37 | 10.6x | 36 | 15% |
| EMA 크로스오버 fast=57, slow=202 |
22.7% | -59.9% | 0.67 | 0.38 | 165.6x | 19 | 66% |
| 볼린저 밴드 돌파 n=24, k=2.6 |
9.8% | -43.2% | 0.63 | 0.23 | 10.4x | 116 | 23% |
| SMA 크로스오버 fast=43, slow=190 |
18.2% | -59.9% | 0.63 | 0.30 | 64.6x | 31 | 63% |
| Donchian 채널 돌파 entryN=36, exitN=70 |
17.8% | -69.6% | 0.62 | 0.26 | 60.4x | 44 | 72% |
| ADX / DI 방향성 period=15, threshold=34 |
8.3% | -31.1% | 0.62 | 0.27 | 7.3x | 68 | 11% |
| ROC 모멘텀 n=124, threshold=-0.07 |
14.9% | -62.2% | 0.55 | 0.24 | 31.8x | 155 | 74% |
| MACD fast=24, slow=50, signal=21 |
13.8% | -76.1% | 0.55 | 0.18 | 25.4x | 226 | 50% |
| Parabolic SAR step=0.005, maxStep=0.36 |
9.0% | -74.4% | 0.41 | 0.12 | 8.6x | 216 | 54% |
| Buy and hold | 25.1% | -74.0% | 0.69 | 0.34 | 270.3x | 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) — 29-day volatility, 4.5× band
- Sell — Sell when price drops below the trend line (flips down)