Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Privi Speciality Chemicals Limited backtest
10 trend-following strategies were compared on the full daily history of Privi Speciality Chemicals Limited. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 25.1%, MDD -45.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 27.4%, drawdown -60.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 25.1%, MDD -45.2%, Sharpe 0.84, 56% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 26.1%, MDD -61.2%, exposure 73%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.3%p lower than buy and hold, while drawdown improves by 15.5%p (CAGR 25.1%, MDD -45.2%, exposure 56%).
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=141, threshold=0.08 |
25.1% | -45.2% | 0.84 | 0.55 | 12.6x | 57 | 56% |
| Donchian 채널 돌파 entryN=17, exitN=46 |
26.1% | -61.2% | 0.82 | 0.43 | 13.8x | 29 | 73% |
| EMA 크로스오버 fast=45, slow=206 |
22.2% | -54.4% | 0.74 | 0.41 | 9.7x | 11 | 63% |
| SMA 크로스오버 fast=33, slow=78 |
21.0% | -47.1% | 0.74 | 0.45 | 8.6x | 37 | 58% |
| MACD fast=24, slow=51, signal=19 |
18.5% | -53.8% | 0.71 | 0.34 | 6.8x | 106 | 49% |
| Supertrend period=30, mult=2.5 |
16.3% | -43.5% | 0.63 | 0.37 | 5.5x | 74 | 53% |
| 볼린저 밴드 돌파 n=29, k=1.3 |
15.2% | -47.7% | 0.63 | 0.32 | 4.9x | 100 | 44% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=14, mult=1.8 |
13.2% | -50.4% | 0.58 | 0.26 | 4.1x | 56 | 40% |
| ADX / DI 방향성 period=16, threshold=18 |
8.8% | -57.1% | 0.43 | 0.15 | 2.6x | 144 | 48% |
| Parabolic SAR step=0.01, maxStep=0.18 |
8.1% | -62.5% | 0.40 | 0.13 | 2.4x | 140 | 50% |
| Buy and hold | 27.4% | -60.7% | 0.78 | 0.45 | 15.5x | 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 141-day return is greater than 8%
- Sell — Sell when the 141-day return drops to 8% or below