Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Sundaram Finance Limited backtest
10 trend-following strategies were compared on the full daily history of Sundaram Finance Limited. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 22.9%, MDD -40.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 23.4%, drawdown -65.7%).
Sharpe leader (same as main): Supertrend — CAGR 22.9%, MDD -40.0%, Sharpe 0.90, 70% exposure.
Return/drawdown alternative: Supertrend — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 25.7%p (CAGR 22.9%, MDD -40.0%, exposure 70%).
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=12, mult=3.9 |
22.9% | -40.0% | 0.90 | 0.57 | 144.4x | 45 | 70% |
| SMA 크로스오버 fast=26, slow=96 |
22.4% | -49.3% | 0.90 | 0.45 | 130.2x | 50 | 64% |
| EMA 크로스오버 fast=49, slow=62 |
22.1% | -43.7% | 0.88 | 0.51 | 122.7x | 42 | 66% |
| Donchian 채널 돌파 entryN=66, exitN=56 |
22.0% | -39.1% | 0.88 | 0.56 | 120.3x | 28 | 66% |
| ROC 모멘텀 n=80, threshold=-0.03 |
20.5% | -47.6% | 0.82 | 0.43 | 89.0x | 200 | 71% |
| ADX / DI 방향성 period=43, threshold=13 |
17.6% | -48.0% | 0.77 | 0.37 | 49.2x | 100 | 56% |
| 볼린저 밴드 돌파 n=77, k=0.9 |
14.7% | -50.0% | 0.67 | 0.29 | 27.2x | 122 | 55% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=9, mult=1.2 |
14.1% | -44.8% | 0.66 | 0.31 | 23.9x | 128 | 54% |
| Parabolic SAR step=0.005, maxStep=0.4 |
6.8% | -51.0% | 0.39 | 0.13 | 4.8x | 177 | 56% |
| MACD fast=21, slow=56, signal=17 |
6.6% | -59.2% | 0.39 | 0.11 | 4.7x | 235 | 49% |
| Buy and hold | 23.4% | -65.7% | 0.81 | 0.36 | 157.1x | 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) — 12-day volatility, 3.9× band
- Sell — Sell when price drops below the trend line (flips down)