Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Page Industries Limited backtest
10 trend-following strategies were compared on the full daily history of Page Industries Limited. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 27.1%, MDD -37.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 29.4%, drawdown -54.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 26.5%, MDD -43.8%, Sharpe 1.05, 68% exposure.
CAGR reference leader: Supertrend — CAGR 27.1%, MDD -37.8%, exposure 69%.
Return/drawdown alternative: Supertrend — CAGR is 3.0%p lower than buy and hold, while drawdown improves by 10.4%p (CAGR 27.1%, MDD -37.8%, exposure 69%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=90, exitN=96 |
26.5% | -43.8% | 1.05 | 0.60 | 94.5x | 11 | 68% |
| Supertrend period=14, mult=4.5 |
27.1% | -37.8% | 1.02 | 0.72 | 103.8x | 35 | 69% |
| EMA 크로스오버 fast=51, slow=82 |
26.7% | -39.7% | 1.01 | 0.67 | 98.1x | 25 | 71% |
| SMA 크로스오버 fast=28, slow=121 |
23.8% | -34.7% | 0.95 | 0.69 | 62.8x | 33 | 68% |
| ROC 모멘텀 n=118, threshold=-0.02 |
20.3% | -45.4% | 0.82 | 0.45 | 35.9x | 103 | 72% |
| ADX / DI 방향성 period=37, threshold=19 |
13.3% | -21.5% | 0.78 | 0.62 | 11.2x | 63 | 30% |
| Keltner 채널 돌파 emaPeriod=70, atrPeriod=8, mult=0.5 |
17.1% | -43.3% | 0.75 | 0.39 | 21.2x | 159 | 64% |
| 볼린저 밴드 돌파 n=45, k=1.2 |
10.4% | -36.2% | 0.53 | 0.29 | 6.8x | 153 | 51% |
| Parabolic SAR step=0.015, maxStep=0.22 |
6.8% | -59.8% | 0.39 | 0.11 | 3.6x | 322 | 54% |
| MACD fast=15, slow=34, signal=17 |
-1.0% | -60.4% | 0.07 | -0.02 | 0.8x | 284 | 48% |
| Buy and hold | 29.4% | -54.2% | 0.93 | 0.54 | 147.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 90 days
- Sell — Sell when price breaks below the lowest low of the last 96 days