Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Varun Beverages Ltd. backtest
10 trend-following strategies were compared on the full daily history of Varun Beverages Ltd.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 31.1%, MDD -32.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 31.5%, drawdown -43.3%).
Sharpe leader (same as main): Supertrend — CAGR 31.1%, MDD -32.0%, Sharpe 1.07, 80% exposure.
Return/drawdown alternative: Supertrend — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 11.3%p (CAGR 31.1%, MDD -32.0%, exposure 80%).
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=21, mult=5 |
31.1% | -32.0% | 1.07 | 0.97 | 14.2x | 12 | 80% |
| EMA 크로스오버 fast=45, slow=202 |
30.3% | -37.7% | 1.03 | 0.80 | 13.4x | 6 | 75% |
| Donchian 채널 돌파 entryN=101, exitN=60 |
30.2% | -37.7% | 1.02 | 0.80 | 13.3x | 6 | 77% |
| SMA 크로스오버 fast=53, slow=238 |
29.2% | -37.7% | 1.00 | 0.77 | 12.3x | 8 | 74% |
| ROC 모멘텀 n=144, threshold=-0.03 |
27.4% | -41.6% | 0.95 | 0.66 | 10.8x | 46 | 79% |
| MACD fast=25, slow=53, signal=37 |
17.8% | -36.3% | 0.82 | 0.49 | 5.0x | 62 | 49% |
| ADX / DI 방향성 period=35, threshold=14 |
15.9% | -24.0% | 0.77 | 0.66 | 4.2x | 52 | 44% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=11, mult=2 |
11.0% | -31.9% | 0.56 | 0.34 | 2.8x | 48 | 50% |
| 볼린저 밴드 돌파 n=58, k=3.2 |
8.9% | -26.3% | 0.54 | 0.34 | 2.3x | 24 | 32% |
| Parabolic SAR step=0.015, maxStep=0.34 |
9.5% | -36.5% | 0.49 | 0.26 | 2.4x | 154 | 53% |
| Buy and hold | 31.5% | -43.3% | 0.97 | 0.73 | 14.6x | 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) — 21-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)