Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Supreme Industries Limited backtest
10 trend-following strategies were compared on the full daily history of Supreme Industries Limited. 0 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 31.3%, MDD -52.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 31.6%, drawdown -75.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 31.3%, MDD -52.6%, Sharpe 0.83, 64% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 22.9%p (CAGR 31.3%, MDD -52.6%, exposure 64%).
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=20, exitN=24 |
31.3% | -52.6% | 0.83 | 0.59 | 718.0x | 87 | 64% |
| Supertrend period=4, mult=4.6 |
28.6% | -52.6% | 0.78 | 0.54 | 435.9x | 61 | 69% |
| ROC 모멘텀 n=19, threshold=-0.04 |
27.1% | -52.9% | 0.75 | 0.51 | 330.2x | 397 | 75% |
| SMA 크로스오버 fast=28, slow=213 |
26.9% | -56.7% | 0.74 | 0.47 | 318.6x | 26 | 73% |
| 볼린저 밴드 돌파 n=52, k=1.1 |
24.9% | -54.5% | 0.72 | 0.46 | 213.9x | 139 | 53% |
| EMA 크로스오버 fast=39, slow=217 |
26.2% | -52.9% | 0.72 | 0.50 | 277.5x | 24 | 75% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=12, mult=0.8 |
24.8% | -54.0% | 0.72 | 0.46 | 210.2x | 193 | 55% |
| Parabolic SAR step=0.005, maxStep=0.18 |
18.4% | -61.5% | 0.65 | 0.30 | 59.6x | 187 | 57% |
| ADX / DI 방향성 period=16, threshold=9 |
15.3% | -66.2% | 0.56 | 0.23 | 30.9x | 443 | 62% |
| MACD fast=14, slow=55, signal=16 |
14.2% | -69.7% | 0.54 | 0.20 | 24.7x | 293 | 53% |
| Buy and hold | 31.6% | -75.5% | 0.79 | 0.42 | 755.6x | 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 20 days
- Sell — Sell when price breaks below the lowest low of the last 24 days