Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Wockhardt Limited backtest
10 trend-following strategies were compared on the full daily history of Wockhardt Limited. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 19.2%, MDD -52.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR 11.2%, drawdown -92.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 25.8%, MDD -62.9%, Sharpe 0.83, 51% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 14.6%p higher than buy and hold, while drawdown improves by 29.7%p (CAGR 19.2%, MDD -52.2%, exposure 30%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=1, slow=166 |
25.8% | -62.9% | 0.83 | 0.41 | 251.2x | 123 | 51% |
| 볼린저 밴드 돌파 n=65, k=1.2 |
22.0% | -68.0% | 0.78 | 0.32 | 120.8x | 95 | 41% |
| EMA 크로스오버 fast=19, slow=110 |
22.5% | -77.5% | 0.75 | 0.29 | 133.4x | 47 | 52% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=15, mult=2.3 |
19.2% | -52.2% | 0.75 | 0.37 | 68.0x | 86 | 30% |
| Supertrend period=22, mult=4.2 |
21.3% | -72.2% | 0.73 | 0.30 | 105.3x | 76 | 52% |
| ROC 모멘텀 n=109, threshold=0.09 |
20.4% | -62.6% | 0.73 | 0.33 | 87.0x | 157 | 43% |
| Donchian 채널 돌파 entryN=92, exitN=17 |
15.3% | -60.5% | 0.68 | 0.25 | 30.8x | 52 | 26% |
| ADX / DI 방향성 period=51, threshold=13 |
17.4% | -83.1% | 0.68 | 0.21 | 47.4x | 101 | 38% |
| MACD fast=8, slow=71, signal=39 |
18.4% | -71.2% | 0.66 | 0.26 | 58.3x | 210 | 52% |
| Parabolic SAR step=0.01, maxStep=0.28 |
16.9% | -62.9% | 0.63 | 0.27 | 43.4x | 306 | 51% |
| Buy and hold | 11.2% | -92.6% | 0.46 | 0.12 | 13.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 1-day average price crosses above the 166-day average
- Sell — Sell (to cash) when the 1-day average falls below the 166-day average