Trend-Following Backtester · Guide · backtest 한국어
equity · IN
United Spirits Limited backtest
10 trend-following strategies were compared on the full daily history of United Spirits Limited. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 22.7%, drawdown -81.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 8.8%, MDD -56.1%, Sharpe 0.53, 21% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 21.4%, MDD -81.4%, exposure 58%.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=25, threshold=22 |
8.8% | -56.1% | 0.53 | 0.16 | 7.7x | 81 | 21% |
| EMA 크로스오버 fast=10, slow=94 |
21.4% | -81.4% | 0.43 | 0.26 | 107.4x | 97 | 58% |
| SMA 크로스오버 fast=11, slow=174 |
21.1% | -81.4% | 0.43 | 0.26 | 102.9x | 63 | 61% |
| Donchian 채널 돌파 entryN=69, exitN=68 |
20.7% | -81.4% | 0.42 | 0.25 | 95.0x | 35 | 57% |
| ROC 모멘텀 n=129, threshold=0.08 |
20.7% | -81.4% | 0.42 | 0.25 | 95.0x | 178 | 48% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=22, mult=3.5 |
4.7% | -84.6% | 0.38 | 0.06 | 3.0x | 61 | 28% |
| Supertrend period=9, mult=4.2 |
13.7% | -80.5% | 0.35 | 0.17 | 22.1x | 85 | 56% |
| Parabolic SAR step=0.005, maxStep=0.12 |
12.9% | -82.0% | 0.34 | 0.16 | 18.7x | 205 | 53% |
| 볼린저 밴드 돌파 n=46, k=1.1 |
12.1% | -84.5% | 0.33 | 0.14 | 15.7x | 179 | 46% |
| MACD fast=21, slow=46, signal=8 |
11.3% | -82.2% | 0.33 | 0.14 | 13.4x | 316 | 51% |
| Buy and hold | 22.7% | -81.4% | 0.46 | 0.28 | 139.4x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 25-day) is ≥ 22
- Sell — Sell when direction flips or the trend weakens (ADX < 22)