Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Sumitomo Chemical India Ltd. backtest
10 trend-following strategies were compared on the full daily history of Sumitomo Chemical India Ltd.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 15.3%, drawdown -44.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.0%, MDD -37.2%, Sharpe 0.53, 69% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=21, exitN=43 |
12.0% | -37.2% | 0.53 | 0.32 | 2.1x | 19 | 69% |
| ADX / DI 방향성 period=19, threshold=25 |
5.5% | -21.9% | 0.42 | 0.25 | 1.4x | 14 | 14% |
| EMA 크로스오버 fast=44, slow=182 |
6.7% | -28.5% | 0.38 | 0.24 | 1.5x | 7 | 58% |
| ROC 모멘텀 n=63, threshold=-0.07 |
6.3% | -35.7% | 0.35 | 0.18 | 1.5x | 71 | 74% |
| SMA 크로스오버 fast=46, slow=116 |
5.8% | -32.5% | 0.35 | 0.18 | 1.4x | 15 | 54% |
| Supertrend period=21, mult=4.1 |
4.5% | -31.4% | 0.30 | 0.14 | 1.3x | 19 | 56% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=18, mult=1.7 |
1.0% | -37.6% | 0.15 | 0.03 | 1.1x | 33 | 36% |
| MACD fast=24, slow=36, signal=17 |
-0.5% | -54.2% | 0.10 | -0.01 | 1.0x | 75 | 46% |
| 볼린저 밴드 돌파 n=31, k=3.2 |
0.1% | -18.0% | 0.07 | 0.01 | 1.0x | 10 | 9% |
| Parabolic SAR step=0.02, maxStep=0.2 |
-7.4% | -69.1% | -0.17 | -0.11 | 0.6x | 148 | 49% |
| Buy and hold | 15.3% | -44.1% | 0.58 | 0.35 | 2.5x | 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 21 days
- Sell — Sell when price breaks below the lowest low of the last 43 days