Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Reliance Power Limited backtest
10 trend-following strategies were compared on the full daily history of Reliance Power Limited. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 19.2%, MDD -30.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -12.5%, drawdown -99.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 23.8%, MDD -35.1%, Sharpe 1.10, 13% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 36.3%p higher than buy and hold, while drawdown improves by 64.5%p (CAGR 19.2%, MDD -30.9%, exposure 8%).
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=18, exitN=1 |
23.8% | -35.1% | 1.10 | 0.68 | 53.3x | 198 | 13% |
| ROC 모멘텀 n=7, threshold=0.14 |
19.2% | -30.9% | 0.94 | 0.62 | 26.5x | 180 | 8% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=19, mult=1.5 |
22.2% | -36.5% | 0.93 | 0.61 | 42.2x | 122 | 16% |
| 볼린저 밴드 돌파 n=15, k=2.3 |
17.5% | -42.3% | 0.76 | 0.41 | 20.2x | 136 | 20% |
| Supertrend period=22, mult=2.3 |
19.2% | -71.7% | 0.70 | 0.27 | 26.5x | 164 | 40% |
| MACD fast=9, slow=24, signal=7 |
20.9% | -71.3% | 0.70 | 0.29 | 34.2x | 366 | 50% |
| Parabolic SAR step=0.015, maxStep=0.38 |
17.2% | -61.7% | 0.63 | 0.28 | 19.2x | 306 | 45% |
| ADX / DI 방향성 period=9, threshold=30 |
11.3% | -53.6% | 0.52 | 0.21 | 7.4x | 204 | 25% |
| EMA 크로스오버 fast=11, slow=128 |
4.4% | -80.2% | 0.30 | 0.06 | 2.2x | 58 | 40% |
| SMA 크로스오버 fast=18, slow=168 |
4.3% | -84.5% | 0.29 | 0.05 | 2.2x | 38 | 41% |
| Buy and hold | -12.5% | -99.6% | 0.01 | -0.13 | 0.1x | 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 18 days
- Sell — Sell when price breaks below the lowest low of the last 1 days