Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Adani Energy Solutions Ltd backtest
10 trend-following strategies were compared on the full daily history of Adani Energy Solutions Ltd. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 48.6%, MDD -44.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 44.9%, drawdown -85.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 51.7%, MDD -54.1%, Sharpe 1.27, 68% exposure.
Return/drawdown alternative: Supertrend — CAGR is 6.8%p higher than buy and hold, while drawdown improves by 31.3%p (CAGR 48.6%, MDD -44.9%, exposure 67%).
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=58, slow=179 |
51.7% | -54.1% | 1.27 | 0.96 | 97.9x | 9 | 68% |
| Supertrend period=6, mult=3.7 |
48.6% | -44.9% | 1.21 | 1.08 | 78.3x | 41 | 67% |
| EMA 크로스오버 fast=46, slow=221 |
44.4% | -55.5% | 1.16 | 0.80 | 57.0x | 9 | 61% |
| Donchian 채널 돌파 entryN=95, exitN=69 |
42.1% | -56.6% | 1.12 | 0.74 | 47.7x | 13 | 67% |
| ROC 모멘텀 n=94, threshold=-0.04 |
43.7% | -55.8% | 1.09 | 0.78 | 54.2x | 95 | 71% |
| ADX / DI 방향성 period=29, threshold=13 |
36.1% | -46.3% | 1.04 | 0.78 | 29.7x | 83 | 55% |
| 볼린저 밴드 돌파 n=34, k=1.4 |
32.7% | -58.4% | 1.02 | 0.56 | 22.5x | 85 | 46% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=11, mult=1.1 |
31.3% | -52.0% | 0.98 | 0.60 | 20.1x | 103 | 47% |
| MACD fast=12, slow=60, signal=3 |
32.8% | -62.5% | 0.98 | 0.53 | 22.7x | 262 | 48% |
| Parabolic SAR step=0.02, maxStep=0.3 |
32.5% | -72.1% | 0.94 | 0.45 | 22.1x | 204 | 55% |
| Buy and hold | 44.9% | -85.4% | 0.99 | 0.53 | 59.3x | 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 58-day average price crosses above the 179-day average
- Sell — Sell (to cash) when the 58-day average falls below the 179-day average