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; Supertrend 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 -8.2%, drawdown -64.9%).
Sharpe leader (same as main): Supertrend — CAGR -0.8%, MDD -51.2%, Sharpe 0.13, 55% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.4%p higher than buy and hold, while drawdown improves by 13.8%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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=25, mult=2.5 |
-0.8% | -51.2% | 0.13 | -0.02 | 1.0x | 35 | 55% |
| MACD fast=8, slow=27, signal=12 |
-3.6% | -46.5% | 0.06 | -0.08 | 0.8x | 102 | 50% |
| Parabolic SAR step=0.01, maxStep=0.16 |
-5.1% | -58.3% | 0.00 | -0.09 | 0.7x | 63 | 47% |
| SMA 크로스오버 fast=15, slow=56 |
-5.9% | -62.3% | -0.07 | -0.10 | 0.7x | 31 | 45% |
| ADX / DI 방향성 period=27, threshold=17 |
-3.4% | -39.2% | -0.09 | -0.09 | 0.8x | 27 | 17% |
| EMA 크로스오버 fast=16, slow=59 |
-6.1% | -57.8% | -0.10 | -0.10 | 0.7x | 29 | 41% |
| Donchian 채널 돌파 entryN=11, exitN=6 |
-6.4% | -48.4% | -0.11 | -0.13 | 0.7x | 58 | 35% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=26, mult=0.8 |
-7.7% | -50.7% | -0.22 | -0.15 | 0.6x | 63 | 29% |
| ROC 모멘텀 n=145, threshold=-0.03 |
-12.0% | -60.0% | -0.29 | -0.20 | 0.5x | 61 | 43% |
| 볼린저 밴드 돌파 n=16, k=1.4 |
-10.6% | -49.6% | -0.36 | -0.21 | 0.5x | 79 | 30% |
| Buy and hold | -8.2% | -64.9% | 0.04 | -0.13 | 0.6x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 25-day volatility, 2.5× band
- Sell — Sell when price drops below the trend line (flips down)