Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Welspun Enterprises Ltd. backtest
10 trend-following strategies were compared on the full daily history of Welspun Enterprises Ltd.. 7 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 16.0%, MDD -45.2%).
Results by strategy
7 of 10 beat buy and hold (CAGR 13.4%, drawdown -95.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 21.2%, MDD -57.2%, Sharpe 0.72, 44% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.8%p higher than buy and hold, while drawdown improves by 38.7%p (CAGR 16.0%, MDD -45.2%, exposure 28%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=77, threshold=0.09 |
21.2% | -57.2% | 0.72 | 0.37 | 64.9x | 221 | 44% |
| ADX / DI 방향성 period=35, threshold=18 |
16.0% | -45.2% | 0.67 | 0.35 | 25.4x | 61 | 28% |
| EMA 크로스오버 fast=25, slow=177 |
19.4% | -55.9% | 0.66 | 0.35 | 47.0x | 31 | 55% |
| SMA 크로스오버 fast=17, slow=91 |
18.6% | -73.5% | 0.64 | 0.25 | 40.5x | 63 | 54% |
| Donchian 채널 돌파 entryN=39, exitN=51 |
19.3% | -69.2% | 0.64 | 0.28 | 46.6x | 45 | 62% |
| Supertrend period=23, mult=4.8 |
17.9% | -71.1% | 0.63 | 0.25 | 36.2x | 53 | 50% |
| MACD fast=16, slow=35, signal=16 |
16.0% | -77.9% | 0.58 | 0.21 | 25.3x | 244 | 51% |
| 볼린저 밴드 돌파 n=58, k=1.5 |
11.8% | -68.0% | 0.50 | 0.17 | 11.3x | 101 | 40% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=17, mult=2 |
9.9% | -67.1% | 0.46 | 0.15 | 7.8x | 103 | 36% |
| Parabolic SAR step=0.005, maxStep=0.34 |
7.3% | -90.7% | 0.38 | 0.08 | 4.6x | 175 | 49% |
| Buy and hold | 13.4% | -95.8% | 0.50 | 0.14 | 15.4x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 77-day return is greater than 9%
- Sell — Sell when the 77-day return drops to 9% or below