Trend-Following Backtester · Guide · backtest 한국어
equity · IN
3M India Limited backtest
10 trend-following strategies were compared on the full daily history of 3M India Limited. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 19.4%, MDD -40.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 21.7%, drawdown -66.8%).
Sharpe leader (same as main): Supertrend — CAGR 18.2%, MDD -47.4%, Sharpe 0.80, 58% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 20.4%, MDD -54.7%, exposure 91%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.5%p lower than buy and hold, while drawdown improves by 19.4%p (CAGR 19.4%, MDD -40.7%, exposure 66%).
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=22, mult=3.2 |
18.2% | -47.4% | 0.80 | 0.38 | 57.2x | 95 | 58% |
| Donchian 채널 돌파 entryN=17, exitN=27 |
19.4% | -40.7% | 0.79 | 0.48 | 72.8x | 86 | 66% |
| ROC 모멘텀 n=18, threshold=-0.09 |
20.4% | -54.7% | 0.76 | 0.37 | 88.5x | 171 | 91% |
| SMA 크로스오버 fast=18, slow=91 |
17.2% | -36.0% | 0.75 | 0.48 | 46.1x | 69 | 60% |
| EMA 크로스오버 fast=23, slow=25 |
16.4% | -39.2% | 0.72 | 0.42 | 39.1x | 132 | 60% |
| 볼린저 밴드 돌파 n=39, k=0.8 |
14.5% | -39.6% | 0.67 | 0.36 | 26.2x | 224 | 51% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=11, mult=0.8 |
13.3% | -53.9% | 0.63 | 0.25 | 20.5x | 188 | 53% |
| Parabolic SAR step=0.005, maxStep=0.18 |
12.5% | -50.9% | 0.60 | 0.25 | 17.2x | 186 | 58% |
| ADX / DI 방향성 period=36, threshold=24 |
6.3% | -35.7% | 0.49 | 0.18 | 4.4x | 38 | 20% |
| MACD fast=12, slow=26, signal=16 |
8.1% | -46.8% | 0.45 | 0.17 | 6.6x | 350 | 48% |
| Buy and hold | 21.7% | -66.8% | 0.76 | 0.33 | 115.5x | 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) — 22-day volatility, 3.2× band
- Sell — Sell when price drops below the trend line (flips down)