Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Tanla Platforms Ltd backtest
10 trend-following strategies were compared on the full daily history of Tanla Platforms Ltd. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 9.3%, MDD -35.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR 5.9%, drawdown -99.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 27.5%, MDD -53.9%, Sharpe 0.95, 27% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 28.7%, MDD -60.5%, exposure 45%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 21.6%p higher than buy and hold, while drawdown improves by 45.5%p (CAGR 9.3%, MDD -35.5%, exposure 4%).
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=79, exitN=22 |
27.5% | -53.9% | 0.95 | 0.51 | 116.4x | 35 | 27% |
| EMA 크로스오버 fast=65, slow=312 |
28.6% | -63.2% | 0.89 | 0.45 | 137.6x | 12 | 39% |
| SMA 크로스오버 fast=56, slow=90 |
28.7% | -60.5% | 0.87 | 0.47 | 139.0x | 51 | 45% |
| 볼린저 밴드 돌파 n=47, k=1.6 |
26.1% | -59.0% | 0.85 | 0.44 | 93.3x | 89 | 32% |
| Supertrend period=20, mult=1.7 |
27.0% | -57.3% | 0.85 | 0.47 | 106.9x | 257 | 38% |
| ROC 모멘텀 n=70, threshold=-0.03 |
26.9% | -61.6% | 0.80 | 0.44 | 106.4x | 179 | 50% |
| MACD fast=3, slow=34, signal=4 |
26.4% | -86.7% | 0.79 | 0.30 | 98.3x | 792 | 49% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=13, mult=2 |
21.7% | -78.7% | 0.77 | 0.28 | 46.4x | 83 | 30% |
| ADX / DI 방향성 period=28, threshold=36 |
9.3% | -35.5% | 0.76 | 0.26 | 5.7x | 12 | 4% |
| Parabolic SAR step=0.02, maxStep=0.18 |
17.4% | -76.1% | 0.61 | 0.23 | 23.1x | 385 | 46% |
| Buy and hold | 5.9% | -99.4% | 0.38 | 0.06 | 3.1x | 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 79 days
- Sell — Sell when price breaks below the lowest low of the last 22 days