Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Prestige Estates Projects Limited backtest
10 trend-following strategies were compared on the full daily history of Prestige Estates Projects Limited. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 16.3%, MDD -44.1%).
Results by strategy
5 of 10 beat buy and hold (CAGR 14.4%, drawdown -72.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 23.8%, MDD -47.0%, Sharpe 0.75, 82% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 9.4%p higher than buy and hold, while drawdown improves by 25.3%p (CAGR 16.3%, MDD -44.1%, exposure 64%).
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=13, exitN=77 |
23.8% | -47.0% | 0.75 | 0.51 | 29.0x | 27 | 82% |
| SMA 크로스오버 fast=56, slow=85 |
20.2% | -62.0% | 0.72 | 0.33 | 18.2x | 39 | 58% |
| ROC 모멘텀 n=84, threshold=-0.04 |
16.3% | -44.1% | 0.62 | 0.37 | 10.8x | 131 | 64% |
| Supertrend period=18, mult=4.7 |
16.8% | -47.7% | 0.61 | 0.35 | 11.6x | 31 | 74% |
| EMA 크로스오버 fast=25, slow=128 |
15.9% | -47.3% | 0.61 | 0.34 | 10.3x | 25 | 62% |
| Keltner 채널 돌파 emaPeriod=69, atrPeriod=24, mult=3.9 |
9.8% | -40.3% | 0.53 | 0.24 | 4.4x | 23 | 26% |
| MACD fast=12, slow=63, signal=36 |
9.1% | -59.7% | 0.44 | 0.15 | 3.9x | 135 | 48% |
| 볼린저 밴드 돌파 n=51, k=3.2 |
6.4% | -46.3% | 0.43 | 0.14 | 2.6x | 26 | 17% |
| ADX / DI 방향성 period=39, threshold=13 |
7.7% | -48.4% | 0.40 | 0.16 | 3.2x | 91 | 49% |
| Parabolic SAR step=0.005, maxStep=0.3 |
0.2% | -67.4% | 0.16 | 0.00 | 1.0x | 119 | 51% |
| Buy and hold | 14.4% | -72.3% | 0.53 | 0.20 | 8.3x | 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 13 days
- Sell — Sell when price breaks below the lowest low of the last 77 days