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; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 11.3%, MDD -41.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR 4.9%, drawdown -99.4%).
Sharpe leader (same as main): Supertrend — CAGR 36.2%, MDD -78.4%, Sharpe 1.04, 38% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 31.3%p higher than buy and hold, while drawdown improves by 20.9%p (CAGR 11.3%, MDD -41.0%, exposure 7%).
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=24, mult=0.5 |
36.2% | -78.4% | 1.04 | 0.46 | 443.4x | 839 | 38% |
| Donchian 채널 돌파 entryN=42, exitN=21 |
31.3% | -71.4% | 0.97 | 0.44 | 215.8x | 50 | 34% |
| 볼린저 밴드 돌파 n=8, k=1.7 |
27.0% | -77.3% | 0.90 | 0.35 | 111.2x | 384 | 28% |
| SMA 크로스오버 fast=63, slow=74 |
29.1% | -57.1% | 0.87 | 0.51 | 154.2x | 91 | 46% |
| EMA 크로스오버 fast=99, slow=196 |
26.9% | -62.0% | 0.84 | 0.43 | 109.5x | 12 | 42% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=26, mult=1.5 |
22.3% | -42.2% | 0.81 | 0.53 | 53.5x | 156 | 25% |
| ROC 모멘텀 n=81, threshold=0.08 |
24.7% | -64.0% | 0.80 | 0.39 | 78.2x | 156 | 38% |
| ADX / DI 방향성 period=13, threshold=42 |
11.3% | -41.0% | 0.73 | 0.27 | 8.2x | 42 | 7% |
| Parabolic SAR step=0.02, maxStep=0.18 |
17.1% | -76.1% | 0.60 | 0.22 | 22.5x | 387 | 46% |
| MACD fast=14, slow=32, signal=6 |
15.6% | -75.3% | 0.56 | 0.21 | 17.5x | 365 | 49% |
| Buy and hold | 4.9% | -99.4% | 0.36 | 0.05 | 2.6x | 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) — 24-day volatility, 0.5× band
- Sell — Sell when price drops below the trend line (flips down)