Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Welspun Living Limited backtest
10 trend-following strategies were compared on the full daily history of Welspun Living Limited. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 20.5%, MDD -49.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR 12.7%, drawdown -90.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 20.5%, MDD -49.0%, Sharpe 0.78, 41% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 7.9%p higher than buy and hold, while drawdown improves by 41.7%p (CAGR 20.5%, MDD -49.0%, exposure 41%).
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=99, exitN=39 |
20.5% | -49.0% | 0.78 | 0.42 | 68.7x | 27 | 41% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=22, mult=3.2 |
19.0% | -51.0% | 0.75 | 0.37 | 51.4x | 47 | 33% |
| ADX / DI 방향성 period=31, threshold=19 |
15.0% | -51.3% | 0.71 | 0.29 | 23.9x | 80 | 23% |
| SMA 크로스오버 fast=29, slow=134 |
19.7% | -72.9% | 0.69 | 0.27 | 58.2x | 45 | 51% |
| 볼린저 밴드 돌파 n=71, k=1.8 |
17.3% | -61.2% | 0.68 | 0.28 | 36.9x | 67 | 36% |
| EMA 크로스오버 fast=24, slow=148 |
18.2% | -69.2% | 0.68 | 0.26 | 44.4x | 45 | 47% |
| ROC 모멘텀 n=106, threshold=0.08 |
17.5% | -60.4% | 0.68 | 0.29 | 38.9x | 165 | 43% |
| Supertrend period=14, mult=3.5 |
17.1% | -61.0% | 0.63 | 0.28 | 35.6x | 87 | 51% |
| MACD fast=24, slow=28, signal=15 |
13.0% | -60.1% | 0.53 | 0.22 | 16.1x | 262 | 51% |
| Parabolic SAR step=0.005, maxStep=0.28 |
10.3% | -62.5% | 0.46 | 0.16 | 9.2x | 176 | 53% |
| Buy and hold | 12.7% | -90.7% | 0.49 | 0.14 | 14.9x | 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 99 days
- Sell — Sell when price breaks below the lowest low of the last 39 days