Trend-Following Backtester · Guide · backtest 한국어
equity · US
ReNew Energy Global plc backtest
10 trend-following strategies were compared on the full daily history of ReNew Energy Global plc. 8 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -3.4%, MDD -39.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR -9.8%, drawdown -64.9%).
Sharpe leader (same as main): MACD — CAGR -2.3%, MDD -46.5%, Sharpe 0.10, 49% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.5%p higher than buy and hold, while drawdown improves by 18.4%p (CAGR -3.4%, MDD -39.2%, exposure 17%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=8, slow=27, signal=12 |
-2.3% | -46.5% | 0.10 | -0.05 | 0.9x | 96 | 49% |
| Supertrend period=25, mult=2.5 |
-2.4% | -51.2% | 0.08 | -0.05 | 0.9x | 35 | 54% |
| SMA 크로스오버 fast=15, slow=56 |
-5.5% | -62.3% | -0.05 | -0.09 | 0.7x | 29 | 45% |
| Parabolic SAR step=0.01, maxStep=0.16 |
-6.7% | -58.3% | -0.05 | -0.12 | 0.7x | 63 | 46% |
| ADX / DI 방향성 period=27, threshold=17 |
-3.4% | -39.2% | -0.09 | -0.09 | 0.8x | 26 | 17% |
| Donchian 채널 돌파 entryN=11, exitN=6 |
-6.2% | -48.4% | -0.10 | -0.13 | 0.7x | 56 | 35% |
| EMA 크로스오버 fast=16, slow=59 |
-7.7% | -57.8% | -0.17 | -0.13 | 0.6x | 29 | 41% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=26, mult=0.8 |
-7.6% | -50.7% | -0.21 | -0.15 | 0.6x | 62 | 29% |
| 볼린저 밴드 돌파 n=16, k=1.4 |
-10.5% | -49.6% | -0.36 | -0.21 | 0.5x | 78 | 30% |
| ROC 모멘텀 n=145, threshold=-0.03 |
-13.6% | -60.0% | -0.36 | -0.23 | 0.4x | 61 | 42% |
| Buy and hold | -9.8% | -64.9% | 0.00 | -0.15 | 0.6x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (8/27) crosses above its 12-day signal line
- Sell — Sell when the MACD line crosses back below the signal line