Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Sudarshan Chemical Industries Limited backtest
10 trend-following strategies were compared on the full daily history of Sudarshan Chemical Industries Limited. 1 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 24.7%, MDD -40.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 21.9%, drawdown -66.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 13.7%, MDD -31.0%, Sharpe 0.84, 17% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 24.7%, MDD -40.9%, exposure 56%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 8.2%p lower than buy and hold, while drawdown improves by 35.7%p (CAGR 24.7%, MDD -40.9%, 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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=23, mult=3.9 |
13.7% | -31.0% | 0.84 | 0.44 | 15.6x | 30 | 17% |
| SMA 크로스오버 fast=55, slow=100 |
24.7% | -40.9% | 0.83 | 0.60 | 112.2x | 45 | 56% |
| Parabolic SAR step=0.005, maxStep=0.02 |
21.0% | -57.6% | 0.75 | 0.36 | 58.8x | 97 | 57% |
| Donchian 채널 돌파 entryN=101, exitN=35 |
17.9% | -55.7% | 0.73 | 0.32 | 34.0x | 33 | 43% |
| ADX / DI 방향성 period=36, threshold=22 |
14.2% | -53.8% | 0.73 | 0.26 | 17.1x | 42 | 27% |
| EMA 크로스오버 fast=47, slow=171 |
20.5% | -59.3% | 0.72 | 0.35 | 54.6x | 21 | 59% |
| Supertrend period=28, mult=4.7 |
19.3% | -51.3% | 0.71 | 0.38 | 43.7x | 53 | 57% |
| 볼린저 밴드 돌파 n=56, k=3 |
12.7% | -51.9% | 0.63 | 0.25 | 13.0x | 57 | 31% |
| ROC 모멘텀 n=93, threshold=0.08 |
13.9% | -59.6% | 0.60 | 0.23 | 16.2x | 177 | 42% |
| MACD fast=16, slow=47, signal=17 |
-1.5% | -80.0% | 0.11 | -0.02 | 0.7x | 251 | 50% |
| Buy and hold | 21.9% | -66.7% | 0.68 | 0.33 | 69.6x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 25-day average + 3.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 25-day average