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 Donchian 채널 돌파 (CAGR 16.5%, MDD -26.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -11.8%, drawdown -99.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.5%, MDD -26.5%, Sharpe 0.96, 6% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 23.2%, MDD -48.2%, exposure 15%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 28.3%p higher than buy and hold, while drawdown improves by 73.1%p (CAGR 16.5%, MDD -26.5%, exposure 6%).
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=50, exitN=1 |
16.5% | -26.5% | 0.96 | 0.62 | 16.8x | 92 | 6% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=17, mult=1.5 |
22.5% | -36.5% | 0.93 | 0.62 | 42.4x | 124 | 16% |
| ROC 모멘텀 n=4, threshold=0.06 |
23.2% | -48.2% | 0.92 | 0.48 | 46.9x | 450 | 15% |
| 볼린저 밴드 돌파 n=11, k=1.6 |
19.8% | -60.9% | 0.75 | 0.33 | 28.1x | 290 | 30% |
| MACD fast=6, slow=25, signal=10 |
22.8% | -71.3% | 0.74 | 0.32 | 44.1x | 360 | 50% |
| Supertrend period=20, mult=2.3 |
19.3% | -71.6% | 0.70 | 0.27 | 25.8x | 164 | 41% |
| ADX / DI 방향성 period=4, threshold=48 |
16.5% | -45.7% | 0.70 | 0.36 | 16.8x | 314 | 20% |
| Parabolic SAR step=0.015, maxStep=0.38 |
17.9% | -61.7% | 0.65 | 0.29 | 20.9x | 302 | 45% |
| SMA 크로스오버 fast=19, slow=167 |
3.7% | -84.4% | 0.28 | 0.04 | 2.0x | 38 | 42% |
| EMA 크로스오버 fast=7, slow=145 |
3.4% | -85.1% | 0.27 | 0.04 | 1.8x | 80 | 40% |
| Buy and hold | -11.8% | -99.6% | 0.03 | -0.12 | 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 50 days
- Sell — Sell when price breaks below the lowest low of the last 1 days