Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Ashapura Minechem Ltd backtest
10 trend-following strategies were compared on the full daily history of Ashapura Minechem Ltd. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 14.5%, MDD -44.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR 15.4%, drawdown -97.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 21.9%, MDD -61.6%, Sharpe 0.74, 40% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.5%p higher than buy and hold, while drawdown improves by 36.3%p (CAGR 14.5%, MDD -44.5%, exposure 15%).
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=45, k=1.3 |
21.9% | -61.6% | 0.74 | 0.36 | 423.6x | 186 | 40% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=24, mult=2 |
21.2% | -60.1% | 0.73 | 0.35 | 352.9x | 154 | 37% |
| Donchian 채널 돌파 entryN=41, exitN=3 |
14.5% | -44.5% | 0.72 | 0.33 | 63.0x | 208 | 15% |
| Supertrend period=24, mult=4.9 |
21.3% | -76.0% | 0.71 | 0.28 | 363.2x | 123 | 48% |
| EMA 크로스오버 fast=19, slow=23 |
21.0% | -74.4% | 0.69 | 0.28 | 338.0x | 197 | 50% |
| SMA 크로스오버 fast=8, slow=42 |
19.2% | -82.1% | 0.65 | 0.23 | 213.6x | 235 | 49% |
| MACD fast=14, slow=48, signal=15 |
19.4% | -76.8% | 0.65 | 0.25 | 224.4x | 365 | 50% |
| ROC 모멘텀 n=82, threshold=0.1 |
15.4% | -84.5% | 0.58 | 0.18 | 79.0x | 241 | 40% |
| Parabolic SAR step=0.01, maxStep=0.14 |
15.8% | -76.8% | 0.57 | 0.21 | 87.6x | 373 | 49% |
| ADX / DI 방향성 period=15, threshold=24 |
10.9% | -65.3% | 0.49 | 0.17 | 23.7x | 256 | 29% |
| Buy and hold | 15.4% | -97.9% | 0.53 | 0.16 | 80.3x | 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 45-day average (1.3× volatility)
- Sell — Sell when the close falls back to the 45-day middle average