Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Thermax Limited. backtest
10 trend-following strategies were compared on the full daily history of Thermax Limited.. 4 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 41.7%, MDD -46.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 37.3%, drawdown -83.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.0%, MDD -31.3%, Sharpe 0.62, 10% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 42.3%, MDD -58.3%, exposure 85%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 29.3%p lower than buy and hold, while drawdown improves by 52.2%p (CAGR 41.7%, MDD -46.5%, exposure 62%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=25, k=3.4 |
8.0% | -31.3% | 0.62 | 0.26 | 6.4x | 42 | 10% |
| ROC 모멘텀 n=35, threshold=-0.1 |
42.3% | -58.3% | 0.55 | 0.73 | 5009.3x | 184 | 85% |
| Donchian 채널 돌파 entryN=83, exitN=83 |
41.7% | -46.5% | 0.54 | 0.90 | 4520.9x | 21 | 62% |
| SMA 크로스오버 fast=17, slow=163 |
39.5% | -46.8% | 0.52 | 0.84 | 3097.2x | 41 | 65% |
| EMA 크로스오버 fast=25, slow=132 |
39.0% | -58.8% | 0.52 | 0.66 | 2864.8x | 39 | 67% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=27, mult=3 |
5.5% | -23.1% | 0.50 | 0.24 | 3.6x | 34 | 8% |
| ADX / DI 방향성 period=38, threshold=7 |
35.6% | -66.5% | 0.49 | 0.53 | 1557.6x | 214 | 69% |
| Supertrend period=21, mult=4.4 |
35.4% | -44.3% | 0.49 | 0.80 | 1505.4x | 54 | 62% |
| MACD fast=19, slow=62, signal=21 |
31.1% | -57.8% | 0.46 | 0.54 | 690.7x | 206 | 53% |
| Parabolic SAR step=0.015, maxStep=0.18 |
11.8% | -71.5% | 0.39 | 0.17 | 14.9x | 417 | 55% |
| Buy and hold | 37.3% | -83.5% | 0.52 | 0.45 | 2114.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 25-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 25-day middle average