Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Torrent Power Limited backtest
10 trend-following strategies were compared on the full daily history of Torrent Power Limited. 1 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 13.9%, MDD -36.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 15.4%, drawdown -81.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 13.9%, MDD -36.5%, Sharpe 0.67, 17% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 16.6%, MDD -57.9%, exposure 68%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.6%p lower than buy and hold, while drawdown improves by 44.9%p (CAGR 13.9%, MDD -36.5%, exposure 17%).
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=52, k=3.5 |
13.9% | -36.5% | 0.67 | 0.38 | 13.0x | 24 | 17% |
| Donchian 채널 돌파 entryN=44, exitN=70 |
16.6% | -57.9% | 0.62 | 0.29 | 20.6x | 32 | 68% |
| SMA 크로스오버 fast=49, slow=102 |
14.4% | -59.0% | 0.58 | 0.24 | 14.3x | 50 | 55% |
| EMA 크로스오버 fast=12, slow=100 |
14.5% | -48.5% | 0.58 | 0.30 | 14.6x | 62 | 54% |
| Supertrend period=14, mult=4.4 |
13.8% | -57.2% | 0.56 | 0.24 | 12.9x | 50 | 60% |
| ADX / DI 방향성 period=44, threshold=27 |
6.4% | -40.7% | 0.49 | 0.16 | 3.4x | 6 | 7% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=17, mult=2.5 |
9.2% | -63.1% | 0.46 | 0.15 | 5.7x | 72 | 34% |
| MACD fast=9, slow=26, signal=19 |
8.6% | -72.8% | 0.42 | 0.12 | 5.1x | 310 | 50% |
| ROC 모멘텀 n=27, threshold=0 |
8.2% | -65.6% | 0.41 | 0.13 | 4.8x | 358 | 54% |
| Parabolic SAR step=0.01, maxStep=0.3 |
4.9% | -68.3% | 0.31 | 0.07 | 2.6x | 262 | 51% |
| Buy and hold | 15.4% | -81.3% | 0.55 | 0.19 | 17.0x | 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 52-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 52-day middle average