Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Apollo Tyres Limited. backtest
10 trend-following strategies were compared on the full daily history of Apollo Tyres Limited.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 17.8%, drawdown -75.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 23.1%, MDD -65.3%, Sharpe 0.74, 92% 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=4, exitN=76 |
23.1% | -65.3% | 0.74 | 0.35 | 168.6x | 61 | 92% |
| 볼린저 밴드 돌파 n=34, k=2.9 |
10.3% | -39.3% | 0.59 | 0.26 | 11.3x | 68 | 21% |
| MACD fast=18, slow=58, signal=19 |
12.8% | -41.6% | 0.57 | 0.31 | 19.5x | 241 | 50% |
| Supertrend period=11, mult=3.2 |
12.7% | -60.3% | 0.55 | 0.21 | 19.2x | 123 | 57% |
| ROC 모멘텀 n=102, threshold=0.12 |
9.9% | -48.7% | 0.49 | 0.20 | 10.4x | 206 | 40% |
| SMA 크로스오버 fast=64, slow=103 |
10.9% | -70.6% | 0.49 | 0.15 | 12.7x | 71 | 59% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=21, mult=4 |
7.3% | -40.1% | 0.45 | 0.18 | 5.7x | 42 | 21% |
| ADX / DI 방향성 period=31, threshold=15 |
8.2% | -47.6% | 0.45 | 0.17 | 7.0x | 148 | 31% |
| EMA 크로스오버 fast=42, slow=183 |
9.3% | -52.4% | 0.44 | 0.18 | 8.9x | 34 | 65% |
| Parabolic SAR step=0.01, maxStep=0.08 |
7.7% | -45.5% | 0.40 | 0.17 | 6.3x | 323 | 53% |
| Buy and hold | 17.8% | -75.4% | 0.61 | 0.24 | 57.0x | 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 4 days
- Sell — Sell when price breaks below the lowest low of the last 76 days