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 22.8%, drawdown -81.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 9.0%, MDD -56.1%, Sharpe 0.54, 21% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 21.5%, 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 |
9.0% | -56.1% | 0.54 | 0.16 | 8.0x | 80 | 21% |
| EMA 크로스오버 fast=10, slow=94 |
21.5% | -81.4% | 0.43 | 0.26 | 109.3x | 97 | 58% |
| SMA 크로스오버 fast=11, slow=174 |
21.3% | -81.4% | 0.43 | 0.26 | 104.7x | 63 | 60% |
| Donchian 채널 돌파 entryN=69, exitN=68 |
20.9% | -81.4% | 0.42 | 0.26 | 96.7x | 35 | 57% |
| ROC 모멘텀 n=129, threshold=0.08 |
21.0% | -81.4% | 0.42 | 0.26 | 98.3x | 175 | 48% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=22, mult=3.5 |
4.8% | -84.6% | 0.38 | 0.06 | 3.1x | 61 | 28% |
| Supertrend period=9, mult=4.2 |
13.8% | -80.5% | 0.35 | 0.17 | 22.5x | 85 | 56% |
| Parabolic SAR step=0.005, maxStep=0.12 |
13.0% | -82.0% | 0.34 | 0.16 | 19.0x | 205 | 53% |
| 볼린저 밴드 돌파 n=46, k=1.1 |
12.2% | -84.5% | 0.33 | 0.14 | 16.0x | 179 | 46% |
| MACD fast=21, slow=46, signal=8 |
11.4% | -82.2% | 0.33 | 0.14 | 13.4x | 315 | 51% |
| Buy and hold | 22.8% | -81.4% | 0.46 | 0.28 | 141.8x | 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)