Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Torrent Pharmaceuticals Ltd backtest
10 trend-following strategies were compared on the full daily history of Torrent Pharmaceuticals Ltd. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 28.3%, drawdown -58.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 24.3%, MDD -60.0%, Sharpe 0.86, 94% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=11, threshold=-0.08 |
24.3% | -60.0% | 0.86 | 0.40 | 190.4x | 203 | 94% |
| Donchian 채널 돌파 entryN=15, exitN=92 |
23.8% | -64.0% | 0.85 | 0.37 | 174.0x | 31 | 89% |
| SMA 크로스오버 fast=30, slow=137 |
20.3% | -58.4% | 0.83 | 0.35 | 86.4x | 49 | 69% |
| EMA 크로스오버 fast=57, slow=216 |
20.5% | -61.8% | 0.81 | 0.33 | 90.5x | 23 | 79% |
| Supertrend period=29, mult=3.9 |
16.9% | -57.5% | 0.73 | 0.29 | 43.2x | 65 | 65% |
| 볼린저 밴드 돌파 n=48, k=3.2 |
10.9% | -29.7% | 0.69 | 0.37 | 12.3x | 46 | 24% |
| Keltner 채널 돌파 emaPeriod=99, atrPeriod=37, mult=1.2 |
13.6% | -59.0% | 0.64 | 0.23 | 21.8x | 115 | 60% |
| ADX / DI 방향성 period=29, threshold=25 |
7.5% | -27.6% | 0.57 | 0.27 | 5.8x | 46 | 19% |
| MACD fast=16, slow=55, signal=19 |
8.7% | -51.3% | 0.47 | 0.17 | 7.5x | 270 | 53% |
| Parabolic SAR step=0.005, maxStep=0.24 |
8.6% | -65.9% | 0.45 | 0.13 | 7.3x | 198 | 60% |
| Buy and hold | 28.3% | -58.3% | 0.92 | 0.48 | 408.8x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 11-day return is greater than -8%
- Sell — Sell when the 11-day return drops to -8% or below