Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Ajanta Pharma Limited backtest
10 trend-following strategies were compared on the full daily history of Ajanta Pharma Limited. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 31.9%, drawdown -64.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 30.6%, MDD -58.9%, Sharpe 0.94, 62% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=60, slow=127 |
30.6% | -58.9% | 0.94 | 0.52 | 630.1x | 39 | 62% |
| EMA 크로스오버 fast=57, slow=166 |
28.0% | -65.1% | 0.86 | 0.43 | 389.2x | 25 | 64% |
| ROC 모멘텀 n=119, threshold=0.01 |
26.2% | -69.6% | 0.83 | 0.38 | 277.6x | 171 | 64% |
| Donchian 채널 돌파 entryN=79, exitN=43 |
23.2% | -70.2% | 0.80 | 0.33 | 155.8x | 33 | 56% |
| Supertrend period=10, mult=4.7 |
22.1% | -70.6% | 0.75 | 0.31 | 124.4x | 51 | 56% |
| ADX / DI 방향성 period=49, threshold=6 |
23.6% | -73.8% | 0.75 | 0.32 | 168.0x | 179 | 71% |
| Keltner 채널 돌파 emaPeriod=71, atrPeriod=18, mult=2.8 |
18.5% | -66.4% | 0.71 | 0.28 | 61.0x | 63 | 39% |
| 볼린저 밴드 돌파 n=57, k=1.5 |
18.8% | -73.4% | 0.69 | 0.26 | 64.0x | 121 | 47% |
| MACD fast=16, slow=68, signal=49 |
16.6% | -50.9% | 0.64 | 0.33 | 40.6x | 161 | 52% |
| Parabolic SAR step=0.005, maxStep=0.28 |
13.4% | -58.4% | 0.55 | 0.23 | 21.0x | 183 | 54% |
| Buy and hold | 31.9% | -64.3% | 0.85 | 0.50 | 807.2x | 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 60-day average price crosses above the 127-day average
- Sell — Sell (to cash) when the 60-day average falls below the 127-day average