Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Olectra Greentech Limited backtest
10 trend-following strategies were compared on the full daily history of Olectra Greentech Limited. 6 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 19.8%, MDD -45.1%).
Results by strategy
6 of 10 beat buy and hold (CAGR 18.7%, drawdown -90.4%).
Sharpe leader (same as main): Supertrend — CAGR 30.8%, MDD -61.7%, Sharpe 0.88, 39% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 12.1%p higher than buy and hold, while drawdown improves by 28.7%p (CAGR 19.8%, MDD -45.1%, exposure 15%).
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=22, mult=0.9 |
30.8% | -61.7% | 0.88 | 0.50 | 662.3x | 622 | 39% |
| Donchian 채널 돌파 entryN=80, exitN=7 |
19.8% | -45.1% | 0.85 | 0.44 | 79.2x | 70 | 15% |
| EMA 크로스오버 fast=57, slow=149 |
27.8% | -56.9% | 0.80 | 0.49 | 372.7x | 27 | 52% |
| SMA 크로스오버 fast=39, slow=195 |
26.8% | -62.7% | 0.78 | 0.43 | 310.2x | 25 | 51% |
| ROC 모멘텀 n=133, threshold=-0.02 |
26.8% | -73.5% | 0.77 | 0.36 | 309.9x | 161 | 55% |
| ADX / DI 방향성 period=16, threshold=25 |
17.6% | -70.1% | 0.67 | 0.25 | 50.1x | 140 | 27% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=8, mult=3.8 |
11.9% | -65.8% | 0.63 | 0.18 | 15.2x | 38 | 13% |
| MACD fast=18, slow=45, signal=15 |
18.8% | -70.2% | 0.62 | 0.27 | 64.4x | 264 | 50% |
| 볼린저 밴드 돌파 n=59, k=1.9 |
16.8% | -82.1% | 0.61 | 0.20 | 42.8x | 90 | 33% |
| Parabolic SAR step=0.015, maxStep=0.24 |
14.9% | -77.2% | 0.54 | 0.19 | 28.6x | 414 | 47% |
| Buy and hold | 18.7% | -90.4% | 0.58 | 0.21 | 62.9x | 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) — 22-day volatility, 0.9× band
- Sell — Sell when price drops below the trend line (flips down)