Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Apollo Hospitals Enterprise Limited backtest
10 trend-following strategies were compared on the full daily history of Apollo Hospitals Enterprise Limited. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 22.7%, drawdown -39.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 18.0%, MDD -48.8%, Sharpe 0.71, 81% 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=58, exitN=77 |
18.0% | -48.8% | 0.71 | 0.37 | 54.3x | 25 | 81% |
| SMA 크로스오버 fast=37, slow=176 |
17.4% | -51.2% | 0.70 | 0.34 | 47.6x | 35 | 72% |
| ROC 모멘텀 n=104, threshold=-0.1 |
16.6% | -56.6% | 0.65 | 0.29 | 40.3x | 131 | 89% |
| EMA 크로스오버 fast=42, slow=139 |
14.9% | -49.0% | 0.62 | 0.30 | 28.3x | 37 | 75% |
| Supertrend period=27, mult=5 |
10.0% | -61.2% | 0.49 | 0.16 | 10.0x | 51 | 65% |
| ADX / DI 방향성 period=31, threshold=7 |
6.6% | -74.8% | 0.37 | 0.09 | 4.7x | 287 | 73% |
| 볼린저 밴드 돌파 n=49, k=2.5 |
2.5% | -63.8% | 0.22 | 0.04 | 1.8x | 97 | 33% |
| MACD fast=15, slow=59, signal=17 |
2.0% | -63.8% | 0.20 | 0.03 | 1.6x | 296 | 50% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=28, mult=1.4 |
1.2% | -74.3% | 0.17 | 0.02 | 1.3x | 171 | 48% |
| Parabolic SAR step=0.025, maxStep=0.12 |
-3.3% | -83.2% | -0.01 | -0.04 | 0.5x | 537 | 51% |
| Buy and hold | 22.7% | -39.7% | 0.78 | 0.57 | 137.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 58 days
- Sell — Sell when price breaks below the lowest low of the last 77 days