Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Vardhman Textiles Limited backtest
10 trend-following strategies were compared on the full daily history of Vardhman Textiles Limited. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
5 of 10 beat buy and hold (CAGR 20.7%, drawdown -98.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 24.8%, MDD -92.8%, Sharpe 0.31, 68% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 25.0%, MDD -91.5%, exposure 62%.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=30, exitN=47 |
24.8% | -92.8% | 0.31 | 0.27 | 207.3x | 41 | 68% |
| EMA 크로스오버 fast=39, slow=207 |
25.0% | -91.5% | 0.31 | 0.27 | 214.7x | 17 | 62% |
| ROC 모멘텀 n=78, threshold=-0.03 |
23.7% | -93.0% | 0.31 | 0.25 | 166.4x | 187 | 65% |
| SMA 크로스오버 fast=15, slow=188 |
23.6% | -91.5% | 0.31 | 0.26 | 163.3x | 37 | 61% |
| Supertrend period=8, mult=4.4 |
23.5% | -93.6% | 0.31 | 0.25 | 161.3x | 43 | 64% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=20, mult=0.9 |
19.1% | -92.2% | 0.29 | 0.21 | 67.5x | 136 | 53% |
| 볼린저 밴드 돌파 n=75, k=0.9 |
16.9% | -93.6% | 0.28 | 0.18 | 42.6x | 122 | 53% |
| Parabolic SAR step=0.005, maxStep=0.18 |
8.9% | -95.0% | 0.24 | 0.09 | 7.9x | 200 | 52% |
| MACD fast=17, slow=23, signal=17 |
6.7% | -96.2% | 0.23 | 0.07 | 4.8x | 320 | 50% |
| ADX / DI 방향성 period=30, threshold=11 |
5.9% | -96.3% | 0.23 | 0.06 | 4.0x | 221 | 57% |
| Buy and hold | 20.7% | -98.0% | 0.31 | 0.21 | 93.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 30 days
- Sell — Sell when price breaks below the lowest low of the last 47 days