Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Raymond Limited backtest
10 trend-following strategies were compared on the full daily history of Raymond Limited. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 10.1%, MDD -52.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR 4.2%, drawdown -90.0%).
Sharpe leader (same as main): Supertrend — CAGR 13.6%, MDD -84.7%, Sharpe 0.55, 54% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 9.4%p higher than buy and hold, while drawdown improves by 5.3%p (CAGR 10.1%, MDD -52.9%, exposure 39%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=5, mult=2.3 |
13.6% | -84.7% | 0.55 | 0.16 | 49.7x | 237 | 54% |
| SMA 크로스오버 fast=30, slow=179 |
11.1% | -82.7% | 0.48 | 0.13 | 25.2x | 45 | 54% |
| Donchian 채널 돌파 entryN=16, exitN=46 |
10.9% | -87.3% | 0.47 | 0.12 | 23.6x | 93 | 71% |
| 볼린저 밴드 돌파 n=28, k=1.4 |
10.1% | -52.9% | 0.47 | 0.19 | 19.3x | 286 | 39% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=20, mult=1.2 |
10.1% | -61.0% | 0.47 | 0.17 | 19.3x | 254 | 40% |
| ROC 모멘텀 n=114, threshold=-0.01 |
10.7% | -78.9% | 0.46 | 0.14 | 22.6x | 205 | 58% |
| ADX / DI 방향성 period=34, threshold=11 |
9.3% | -74.3% | 0.43 | 0.13 | 15.3x | 267 | 49% |
| EMA 크로스오버 fast=38, slow=138 |
9.1% | -74.5% | 0.43 | 0.12 | 14.4x | 51 | 56% |
| Parabolic SAR step=0.02, maxStep=0.3 |
2.8% | -86.0% | 0.27 | 0.03 | 2.4x | 622 | 49% |
| MACD fast=13, slow=22, signal=9 |
2.3% | -81.0% | 0.23 | 0.03 | 2.0x | 576 | 51% |
| Buy and hold | 4.2% | -90.0% | 0.33 | 0.05 | 3.5x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 5-day volatility, 2.3× band
- Sell — Sell when price drops below the trend line (flips down)