Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Welspun Corp Limited backtest
10 trend-following strategies were compared on the full daily history of Welspun Corp Limited. 4 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 23.3%, MDD -70.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR 23.2%, drawdown -94.7%).
Sharpe leader (same as main): Supertrend — CAGR 32.0%, MDD -73.2%, Sharpe 0.83, 60% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 8.7%p higher than buy and hold, while drawdown improves by 21.4%p (CAGR 23.3%, MDD -70.8%, exposure 58%).
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=13, mult=4.8 |
32.0% | -73.2% | 0.83 | 0.44 | 1430.8x | 69 | 60% |
| SMA 크로스오버 fast=41, slow=90 |
24.7% | -79.4% | 0.75 | 0.31 | 321.9x | 65 | 55% |
| Donchian 채널 돌파 entryN=39, exitN=32 |
23.4% | -78.8% | 0.73 | 0.30 | 248.4x | 77 | 54% |
| EMA 크로스오버 fast=32, slow=34 |
23.3% | -70.8% | 0.70 | 0.33 | 242.0x | 97 | 58% |
| ADX / DI 방향성 period=37, threshold=12 |
20.8% | -73.2% | 0.69 | 0.28 | 141.9x | 167 | 45% |
| ROC 모멘텀 n=147, threshold=0.05 |
20.0% | -71.2% | 0.67 | 0.28 | 117.4x | 169 | 53% |
| 볼린저 밴드 돌파 n=49, k=2 |
16.9% | -80.8% | 0.62 | 0.21 | 60.2x | 105 | 38% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=28, mult=2.1 |
13.9% | -83.5% | 0.54 | 0.17 | 30.5x | 125 | 39% |
| Parabolic SAR step=0.015, maxStep=0.3 |
13.8% | -81.5% | 0.52 | 0.17 | 29.4x | 405 | 51% |
| MACD fast=10, slow=47, signal=7 |
11.2% | -68.4% | 0.47 | 0.16 | 15.9x | 509 | 49% |
| Buy and hold | 23.2% | -94.7% | 0.65 | 0.25 | 238.2x | 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) — 13-day volatility, 4.8× band
- Sell — Sell when price drops below the trend line (flips down)