Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Syngene International Ltd. backtest
10 trend-following strategies were compared on the full daily history of Syngene International Ltd.. 2 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 9.0%, MDD -17.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.9%, drawdown -61.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 9.0%, MDD -17.1%, Sharpe 0.73, 16% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 44.3%p (CAGR 9.0%, MDD -17.1%, exposure 16%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=17, threshold=29 |
9.0% | -17.1% | 0.73 | 0.53 | 2.6x | 26 | 16% |
| SMA 크로스오버 fast=52, slow=188 |
8.3% | -28.5% | 0.49 | 0.29 | 2.4x | 20 | 52% |
| 볼린저 밴드 돌파 n=18, k=3 |
3.3% | -14.3% | 0.45 | 0.23 | 1.4x | 12 | 6% |
| ROC 모멘텀 n=83, threshold=0.1 |
5.4% | -32.8% | 0.40 | 0.16 | 1.8x | 84 | 26% |
| EMA 크로스오버 fast=53, slow=169 |
4.8% | -41.7% | 0.33 | 0.12 | 1.7x | 20 | 60% |
| Supertrend period=11, mult=2.7 |
4.1% | -52.5% | 0.30 | 0.08 | 1.6x | 68 | 53% |
| Donchian 채널 돌파 entryN=13, exitN=76 |
3.5% | -45.8% | 0.26 | 0.08 | 1.5x | 32 | 87% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=19, mult=3.8 |
2.5% | -28.4% | 0.25 | 0.09 | 1.3x | 16 | 16% |
| Parabolic SAR step=0.02, maxStep=0.02 |
1.5% | -57.9% | 0.18 | 0.03 | 1.2x | 76 | 52% |
| MACD fast=19, slow=51, signal=22 |
-2.3% | -42.8% | -0.01 | -0.05 | 0.8x | 110 | 50% |
| Buy and hold | 7.9% | -61.5% | 0.41 | 0.13 | 2.3x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 17-day) is ≥ 29
- Sell — Sell when direction flips or the trend weakens (ADX < 29)