Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Sun Pharmaceutical Industries Limited backtest
10 trend-following strategies were compared on the full daily history of Sun Pharmaceutical Industries Limited. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 25.7%, drawdown -72.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 23.5%, MDD -66.1%, Sharpe 0.82, 77% 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=21, slow=401 |
23.5% | -66.1% | 0.82 | 0.36 | 637.3x | 25 | 77% |
| Donchian 채널 돌파 entryN=7, exitN=51 |
22.0% | -63.1% | 0.77 | 0.35 | 435.6x | 97 | 89% |
| SMA 크로스오버 fast=58, slow=213 |
18.6% | -69.8% | 0.72 | 0.27 | 186.1x | 35 | 71% |
| Keltner 채널 돌파 emaPeriod=169, atrPeriod=25, mult=3.3 |
13.7% | -56.5% | 0.63 | 0.24 | 50.7x | 53 | 55% |
| ROC 모멘텀 n=143, threshold=0.02 |
13.1% | -76.3% | 0.57 | 0.17 | 43.1x | 241 | 70% |
| MACD fast=16, slow=52, signal=18 |
9.6% | -47.3% | 0.49 | 0.20 | 16.6x | 329 | 51% |
| 볼린저 밴드 돌파 n=74, k=1.5 |
9.1% | -53.4% | 0.47 | 0.17 | 14.4x | 129 | 49% |
| Supertrend period=11, mult=4 |
9.4% | -67.4% | 0.46 | 0.14 | 15.5x | 117 | 63% |
| Parabolic SAR step=0.015, maxStep=0.18 |
5.9% | -74.6% | 0.35 | 0.08 | 5.8x | 531 | 54% |
| ADX / DI 방향성 period=34, threshold=11 |
2.4% | -79.8% | 0.22 | 0.03 | 2.1x | 309 | 49% |
| Buy and hold | 25.7% | -72.2% | 0.82 | 0.36 | 1098.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 21-day EMA crosses above the 401-day EMA
- Sell — Sell when the 21-day EMA falls below the 401-day EMA