Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Madhya Bharat Agro Products Ltd. backtest
10 trend-following strategies were compared on the full daily history of Madhya Bharat Agro Products Ltd.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 60.8%, drawdown -90.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 29.5%, MDD -45.8%, Sharpe 0.95, 49% exposure.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=44, threshold=14 |
29.5% | -45.8% | 0.95 | 0.64 | 13.4x | 31 | 49% |
| Donchian 채널 돌파 entryN=132, exitN=76 |
17.6% | -93.2% | 0.81 | 0.19 | 5.1x | 7 | 63% |
| EMA 크로스오버 fast=58, slow=123 |
16.6% | -93.7% | 0.79 | 0.18 | 4.7x | 9 | 66% |
| SMA 크로스오버 fast=29, slow=172 |
15.7% | -93.9% | 0.77 | 0.17 | 4.3x | 15 | 64% |
| ROC 모멘텀 n=180, threshold=0.09 |
15.3% | -93.2% | 0.77 | 0.16 | 4.2x | 33 | 60% |
| 볼린저 밴드 돌파 n=59, k=2.8 |
8.2% | -93.4% | 0.65 | 0.09 | 2.2x | 21 | 35% |
| Supertrend period=26, mult=4.9 |
0.5% | -97.1% | 0.47 | 0.01 | 1.1x | 41 | 55% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=24, mult=1.3 |
25.1% | -90.6% | 0.38 | 0.28 | 9.5x | 69 | 51% |
| MACD fast=16, slow=38, signal=21 |
15.9% | -90.5% | 0.36 | 0.18 | 4.4x | 110 | 47% |
| Parabolic SAR step=0.005, maxStep=0.08 |
10.3% | -91.3% | 0.34 | 0.11 | 2.7x | 79 | 50% |
| Buy and hold | 60.8% | -90.7% | 0.49 | 0.67 | 117.9x | 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, 44-day) is ≥ 14
- Sell — Sell when direction flips or the trend weakens (ADX < 14)