Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Marico Limited backtest
10 trend-following strategies were compared on the full daily history of Marico Limited. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 22.2%, MDD -40.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 22.9%, drawdown -67.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 23.9%, MDD -48.6%, Sharpe 0.87, 93% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 19.2%p (CAGR 22.2%, MDD -40.6%, exposure 94%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=121, threshold=-0.15 |
23.9% | -48.6% | 0.87 | 0.49 | 660.1x | 25 | 93% |
| Donchian 채널 돌파 entryN=5, exitN=100 |
22.2% | -40.6% | 0.82 | 0.55 | 442.7x | 43 | 94% |
| Supertrend period=14, mult=4.9 |
16.2% | -36.6% | 0.73 | 0.44 | 94.0x | 59 | 69% |
| SMA 크로스오버 fast=55, slow=218 |
16.1% | -51.5% | 0.69 | 0.31 | 91.7x | 35 | 75% |
| EMA 크로스오버 fast=34, slow=60 |
14.7% | -47.2% | 0.67 | 0.31 | 64.0x | 79 | 69% |
| 볼린저 밴드 돌파 n=61, k=1.2 |
8.8% | -49.1% | 0.50 | 0.18 | 13.0x | 172 | 51% |
| Parabolic SAR step=0.005, maxStep=0.12 |
9.1% | -37.1% | 0.48 | 0.24 | 13.9x | 232 | 58% |
| ADX / DI 방향성 period=43, threshold=12 |
6.8% | -48.1% | 0.41 | 0.14 | 7.4x | 159 | 52% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=16, mult=3.1 |
2.2% | -42.5% | 0.25 | 0.05 | 1.9x | 48 | 8% |
| MACD fast=24, slow=37, signal=16 |
3.2% | -62.1% | 0.25 | 0.05 | 2.6x | 340 | 51% |
| Buy and hold | 22.9% | -67.8% | 0.81 | 0.34 | 521.7x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 121-day return is greater than -15%
- Sell — Sell when the 121-day return drops to -15% or below