Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Wipro Limited backtest
10 trend-following strategies were compared on the full daily history of Wipro Limited. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 20.2%, MDD -67.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 20.8%, drawdown -91.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 10.6%, MDD -42.6%, Sharpe 0.74, 8% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 20.2%, MDD -67.8%, exposure 28%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 10.2%p lower than buy and hold, while drawdown improves by 49.0%p (CAGR 20.2%, MDD -67.8%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=9, threshold=48 |
10.6% | -42.6% | 0.74 | 0.25 | 22.0x | 100 | 8% |
| 볼린저 밴드 돌파 n=52, k=2.6 |
20.2% | -67.8% | 0.55 | 0.30 | 277.1x | 80 | 28% |
| SMA 크로스오버 fast=8, slow=38 |
19.2% | -80.6% | 0.53 | 0.24 | 214.8x | 249 | 56% |
| Supertrend period=13, mult=2.3 |
10.4% | -85.4% | 0.52 | 0.12 | 20.4x | 281 | 51% |
| Donchian 채널 돌파 entryN=16, exitN=59 |
17.0% | -84.9% | 0.52 | 0.20 | 121.9x | 85 | 79% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=19, mult=4 |
18.2% | -67.8% | 0.51 | 0.27 | 168.0x | 58 | 23% |
| Parabolic SAR step=0.01, maxStep=0.24 |
10.1% | -86.3% | 0.51 | 0.12 | 18.9x | 389 | 53% |
| EMA 크로스오버 fast=19, slow=93 |
15.4% | -83.2% | 0.49 | 0.19 | 80.0x | 88 | 56% |
| MACD fast=17, slow=35, signal=13 |
9.7% | -72.6% | 0.48 | 0.13 | 17.0x | 409 | 51% |
| ROC 모멘텀 n=71, threshold=0.01 |
12.8% | -84.9% | 0.45 | 0.15 | 40.0x | 316 | 54% |
| Buy and hold | 20.8% | -91.6% | 0.45 | 0.23 | 324.7x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 9-day) is ≥ 48
- Sell — Sell when direction flips or the trend weakens (ADX < 48)