Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Adani Power Limited backtest
10 trend-following strategies were compared on the full daily history of Adani Power Limited. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 23.1%, MDD -50.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR 14.4%, drawdown -89.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 22.9%, MDD -51.4%, Sharpe 0.81, 35% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 25.0%, MDD -54.7%, exposure 68%.
Return/drawdown alternative: Supertrend — CAGR is 8.5%p higher than buy and hold, while drawdown improves by 37.9%p (CAGR 23.1%, MDD -50.5%, exposure 44%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=12, k=1.5 |
22.9% | -51.4% | 0.81 | 0.45 | 33.4x | 275 | 35% |
| SMA 크로스오버 fast=13, slow=37 |
24.8% | -55.1% | 0.80 | 0.45 | 43.8x | 104 | 50% |
| Supertrend period=25, mult=1.6 |
23.1% | -50.5% | 0.78 | 0.46 | 34.4x | 235 | 44% |
| Donchian 채널 돌파 entryN=18, exitN=45 |
25.0% | -54.7% | 0.76 | 0.46 | 44.9x | 50 | 68% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=12, mult=0.9 |
21.9% | -51.0% | 0.75 | 0.43 | 29.3x | 134 | 44% |
| Parabolic SAR step=0.03, maxStep=0.2 |
19.8% | -62.2% | 0.69 | 0.32 | 21.6x | 411 | 49% |
| EMA 크로스오버 fast=55, slow=78 |
19.5% | -74.8% | 0.67 | 0.26 | 20.7x | 27 | 54% |
| ROC 모멘텀 n=90, threshold=0.08 |
16.8% | -65.1% | 0.63 | 0.26 | 14.1x | 142 | 45% |
| ADX / DI 방향성 period=9, threshold=17 |
14.8% | -60.0% | 0.57 | 0.25 | 10.4x | 383 | 46% |
| MACD fast=16, slow=72, signal=4 |
14.6% | -82.7% | 0.56 | 0.18 | 10.2x | 301 | 49% |
| Buy and hold | 14.4% | -89.2% | 0.52 | 0.16 | 9.8x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 12-day average (1.5× volatility)
- Sell — Sell when the close falls back to the 12-day middle average