Trend-Following Backtester · Guide · backtest 한국어
equity · IN
UltraTech Cement Limited backtest
10 trend-following strategies were compared on the full daily history of UltraTech Cement Limited. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 16.3%, MDD -35.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 16.2%, drawdown -79.3%).
Sharpe leader (same as main): Supertrend — CAGR 16.3%, MDD -35.2%, Sharpe 0.78, 59% exposure.
Return/drawdown alternative: Supertrend — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 44.1%p (CAGR 16.3%, MDD -35.2%, exposure 59%).
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=26, mult=3.1 |
16.3% | -35.2% | 0.78 | 0.46 | 37.6x | 123 | 59% |
| Donchian 채널 돌파 entryN=54, exitN=26 |
13.6% | -42.3% | 0.73 | 0.32 | 21.5x | 71 | 48% |
| SMA 크로스오버 fast=33, slow=78 |
15.6% | -56.3% | 0.73 | 0.28 | 32.6x | 75 | 61% |
| EMA 크로스오버 fast=43, slow=62 |
14.3% | -52.5% | 0.68 | 0.27 | 24.9x | 63 | 65% |
| ADX / DI 방향성 period=17, threshold=20 |
10.9% | -43.6% | 0.66 | 0.25 | 12.0x | 198 | 34% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=9, mult=2.1 |
11.8% | -35.5% | 0.65 | 0.33 | 14.6x | 98 | 48% |
| 볼린저 밴드 돌파 n=53, k=2.1 |
11.1% | -35.2% | 0.65 | 0.32 | 12.6x | 94 | 38% |
| ROC 모멘텀 n=88, threshold=0.03 |
12.0% | -54.1% | 0.61 | 0.22 | 15.3x | 218 | 58% |
| MACD fast=13, slow=59, signal=19 |
9.2% | -78.2% | 0.52 | 0.12 | 8.2x | 244 | 51% |
| Parabolic SAR step=0.005, maxStep=0.18 |
4.5% | -82.8% | 0.36 | 0.05 | 2.9x | 210 | 54% |
| Buy and hold | 16.2% | -79.3% | 0.65 | 0.20 | 36.9x | 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) — 26-day volatility, 3.1× band
- Sell — Sell when price drops below the trend line (flips down)