Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Pidilite Industries Limited backtest
10 trend-following strategies were compared on the full daily history of Pidilite Industries Limited. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 30.5%, drawdown -75.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 25.7%, MDD -75.2%, Sharpe 0.52, 81% 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=45, slow=223 |
25.7% | -75.2% | 0.52 | 0.34 | 247.8x | 21 | 81% |
| SMA 크로스오버 fast=54, slow=257 |
23.9% | -75.2% | 0.50 | 0.32 | 174.9x | 27 | 78% |
| ROC 모멘텀 Hold-like · Exposure 98% n=21, threshold=-0.15 |
21.8% | -81.6% | 0.49 | 0.27 | 114.5x | 69 | 98% |
| Donchian 채널 돌파 entryN=38, exitN=50 |
22.8% | -75.2% | 0.48 | 0.30 | 140.3x | 37 | 74% |
| Supertrend period=4, mult=4.3 |
19.8% | -75.2% | 0.46 | 0.26 | 77.4x | 61 | 70% |
| Keltner 채널 돌파 emaPeriod=99, atrPeriod=18, mult=2.3 |
14.1% | -75.2% | 0.39 | 0.19 | 24.1x | 75 | 58% |
| 볼린저 밴드 돌파 n=30, k=1.4 |
13.1% | -75.9% | 0.36 | 0.17 | 19.3x | 213 | 47% |
| ADX / DI 방향성 period=36, threshold=35 |
1.0% | -13.4% | 0.27 | 0.07 | 1.3x | 6 | 1% |
| MACD fast=14, slow=54, signal=18 |
0.3% | -89.0% | 0.22 | 0.00 | 1.1x | 284 | 50% |
| Parabolic SAR step=0.01, maxStep=0.44 |
-7.8% | -89.3% | 0.09 | -0.09 | 0.1x | 329 | 58% |
| Buy and hold | 30.5% | -75.2% | 0.57 | 0.41 | 609.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 45-day EMA crosses above the 223-day EMA
- Sell — Sell when the 45-day EMA falls below the 223-day EMA