Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Poonawalla Fincorp Limited backtest
10 trend-following strategies were compared on the full daily history of Poonawalla Fincorp Limited. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 27.3%, MDD -57.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 22.5%, drawdown -93.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 30.4%, MDD -61.9%, Sharpe 0.87, 69% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.9%p higher than buy and hold, while drawdown improves by 31.2%p (CAGR 27.3%, MDD -57.7%, exposure 63%).
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=31, exitN=53 |
30.4% | -61.9% | 0.87 | 0.49 | 367.7x | 43 | 69% |
| ADX / DI 방향성 period=35, threshold=7 |
27.3% | -57.7% | 0.83 | 0.47 | 213.8x | 205 | 63% |
| SMA 크로스오버 fast=14, slow=70 |
22.2% | -57.7% | 0.73 | 0.38 | 86.0x | 101 | 55% |
| EMA 크로스오버 fast=18, slow=55 |
21.6% | -60.8% | 0.72 | 0.36 | 78.1x | 93 | 57% |
| 볼린저 밴드 돌파 n=43, k=1.4 |
18.9% | -62.4% | 0.70 | 0.30 | 47.3x | 139 | 42% |
| ROC 모멘텀 n=138, threshold=0.09 |
17.5% | -68.2% | 0.64 | 0.26 | 36.2x | 138 | 50% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=17, mult=2 |
14.9% | -54.9% | 0.62 | 0.27 | 22.1x | 95 | 38% |
| Supertrend period=11, mult=4 |
17.0% | -66.3% | 0.61 | 0.26 | 33.0x | 75 | 61% |
| MACD fast=13, slow=86, signal=19 |
14.3% | -79.4% | 0.55 | 0.18 | 19.4x | 225 | 49% |
| Parabolic SAR step=0.01, maxStep=0.36 |
5.5% | -90.7% | 0.33 | 0.06 | 3.3x | 290 | 50% |
| Buy and hold | 22.5% | -93.1% | 0.66 | 0.24 | 92.2x | 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 31 days
- Sell — Sell when price breaks below the lowest low of the last 53 days