Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Whirlpool Of India Limited backtest
10 trend-following strategies were compared on the full daily history of Whirlpool Of India Limited. 1 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 20.4%, MDD -46.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 15.6%, drawdown -71.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 9.2%, MDD -17.7%, Sharpe 0.66, 18% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 20.4%, MDD -46.5%, exposure 75%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.4%p lower than buy and hold, while drawdown improves by 54.2%p (CAGR 20.4%, MDD -46.5%, exposure 75%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=75, k=3.1 |
9.2% | -17.7% | 0.66 | 0.52 | 8.2x | 22 | 18% |
| EMA 크로스오버 fast=8, slow=51 |
10.1% | -42.9% | 0.57 | 0.23 | 10.1x | 96 | 53% |
| Supertrend period=12, mult=2.6 |
10.1% | -44.6% | 0.56 | 0.23 | 10.1x | 95 | 41% |
| SMA 크로스오버 fast=13, slow=103 |
9.7% | -42.1% | 0.55 | 0.23 | 9.2x | 56 | 41% |
| ADX / DI 방향성 period=43, threshold=23 |
6.6% | -43.0% | 0.51 | 0.15 | 4.6x | 32 | 15% |
| ROC 모멘텀 n=74, threshold=0.11 |
7.2% | -45.8% | 0.48 | 0.16 | 5.3x | 174 | 26% |
| Parabolic SAR step=0.005, maxStep=0.18 |
7.6% | -42.5% | 0.45 | 0.18 | 5.8x | 155 | 40% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=27, mult=2.3 |
5.6% | -45.4% | 0.40 | 0.12 | 3.7x | 76 | 25% |
| MACD fast=10, slow=15, signal=17 |
5.3% | -57.1% | 0.36 | 0.09 | 3.5x | 313 | 36% |
| Donchian 채널 돌파 entryN=39, exitN=75 |
20.4% | -46.5% | 0.32 | 0.44 | 87.7x | 27 | 75% |
| Buy and hold | 15.6% | -71.9% | 0.29 | 0.22 | 32.7x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 75-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 75-day middle average