Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Patanjali Foods Limited backtest
10 trend-following strategies were compared on the full daily history of Patanjali Foods Limited. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 10.9%, MDD -27.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.2%, drawdown -99.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 22.8%, MDD -44.1%, Sharpe 1.20, 5% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 21.6%p higher than buy and hold, while drawdown improves by 55.8%p (CAGR 10.9%, MDD -27.2%, exposure 4%).
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=4, threshold=0.14 |
22.8% | -44.1% | 1.20 | 0.52 | 140.3x | 176 | 5% |
| ADX / DI 방향성 period=10, threshold=55 |
10.9% | -27.2% | 0.92 | 0.40 | 12.2x | 28 | 4% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=11, mult=2.1 |
18.2% | -57.3% | 0.73 | 0.32 | 55.6x | 90 | 25% |
| 볼린저 밴드 돌파 n=43, k=2.2 |
18.1% | -57.8% | 0.73 | 0.31 | 54.9x | 92 | 27% |
| Supertrend period=22, mult=3.6 |
20.1% | -91.2% | 0.70 | 0.22 | 82.3x | 96 | 46% |
| SMA 크로스오버 fast=9, slow=30 |
16.3% | -90.3% | 0.61 | 0.18 | 38.1x | 228 | 44% |
| Donchian 채널 돌파 entryN=18, exitN=14 |
7.6% | -98.7% | 0.55 | 0.08 | 5.8x | 124 | 40% |
| Parabolic SAR step=0.005, maxStep=0.18 |
13.9% | -81.8% | 0.55 | 0.17 | 23.1x | 182 | 45% |
| EMA 크로스오버 fast=11, slow=19 |
12.1% | -94.2% | 0.50 | 0.13 | 15.5x | 242 | 44% |
| MACD fast=12, slow=72, signal=23 |
4.2% | -99.4% | 0.46 | 0.04 | 2.7x | 226 | 50% |
| Buy and hold | 1.2% | -99.9% | 0.23 | 0.01 | 1.3x | 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 4-day return is greater than 14%
- Sell — Sell when the 4-day return drops to 14% or below