Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Zydus Lifesciences Limited backtest
10 trend-following strategies were compared on the full daily history of Zydus Lifesciences Limited. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 17.7%, MDD -46.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 17.5%, drawdown -69.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 19.2%, MDD -48.0%, Sharpe 0.82, 60% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 21.8%p (CAGR 17.7%, MDD -46.3%, exposure 59%).
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=41, slow=160 |
19.2% | -48.0% | 0.82 | 0.40 | 101.0x | 35 | 60% |
| ROC 모멘텀 n=105, threshold=0.01 |
17.7% | -46.3% | 0.78 | 0.38 | 73.0x | 173 | 59% |
| EMA 크로스오버 fast=30, slow=68 |
16.5% | -73.1% | 0.72 | 0.23 | 55.0x | 57 | 59% |
| 볼린저 밴드 돌파 n=64, k=3 |
11.6% | -33.3% | 0.70 | 0.35 | 17.6x | 53 | 30% |
| Supertrend period=5, mult=5 |
15.9% | -77.9% | 0.69 | 0.20 | 48.6x | 55 | 62% |
| Donchian 채널 돌파 entryN=118, exitN=35 |
13.2% | -65.0% | 0.67 | 0.20 | 25.9x | 39 | 46% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=8, mult=1.5 |
12.6% | -59.6% | 0.63 | 0.21 | 22.6x | 121 | 45% |
| ADX / DI 방향성 period=37, threshold=17 |
10.1% | -55.0% | 0.62 | 0.18 | 12.6x | 111 | 32% |
| MACD fast=14, slow=48, signal=18 |
1.4% | -77.7% | 0.19 | 0.02 | 1.5x | 314 | 50% |
| Parabolic SAR step=0.02, maxStep=0.24 |
0.9% | -67.6% | 0.16 | 0.01 | 1.3x | 550 | 52% |
| Buy and hold | 17.5% | -69.8% | 0.65 | 0.25 | 69.7x | 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 41-day average price crosses above the 160-day average
- Sell — Sell (to cash) when the 41-day average falls below the 160-day average