Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Aditya Birla Real Estate Ltd backtest
10 trend-following strategies were compared on the full daily history of Aditya Birla Real Estate Ltd. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 17.2%, MDD -46.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.0%, drawdown -99.7%).
Sharpe leader (same as main): Supertrend — CAGR 21.1%, MDD -59.4%, Sharpe 0.74, 51% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 25.1%p higher than buy and hold, while drawdown improves by 40.2%p (CAGR 17.2%, MDD -46.6%, exposure 53%).
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=18, mult=2.6 |
21.1% | -59.4% | 0.74 | 0.36 | 357.4x | 225 | 51% |
| Parabolic SAR step=0.01, maxStep=0.06 |
17.2% | -46.6% | 0.64 | 0.37 | 129.8x | 365 | 53% |
| EMA 크로스오버 fast=5, slow=52 |
17.6% | -53.8% | 0.64 | 0.33 | 144.5x | 191 | 53% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=10, mult=1.3 |
16.5% | -54.1% | 0.64 | 0.31 | 108.8x | 181 | 45% |
| Donchian 채널 돌파 entryN=14, exitN=22 |
17.1% | -77.4% | 0.61 | 0.22 | 126.9x | 159 | 62% |
| 볼린저 밴드 돌파 n=59, k=1.5 |
14.8% | -60.4% | 0.60 | 0.25 | 69.7x | 126 | 39% |
| ROC 모멘텀 n=23, threshold=-0.06 |
15.6% | -79.0% | 0.57 | 0.20 | 84.7x | 421 | 70% |
| SMA 크로스오버 fast=7, slow=134 |
11.6% | -72.3% | 0.49 | 0.16 | 29.3x | 105 | 51% |
| MACD fast=18, slow=53, signal=11 |
7.2% | -97.1% | 0.46 | 0.07 | 8.5x | 358 | 55% |
| ADX / DI 방향성 period=13, threshold=12 |
8.1% | -74.3% | 0.40 | 0.11 | 10.8x | 599 | 51% |
| Buy and hold | -4.0% | -99.7% | 0.27 | -0.04 | 0.3x | 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) — 18-day volatility, 2.6× band
- Sell — Sell when price drops below the trend line (flips down)