Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Aster DM Quality Care Limited backtest
10 trend-following strategies were compared on the full daily history of Aster DM Quality Care Limited. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 14.3%, MDD -29.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 18.2%, drawdown -56.5%).
Sharpe leader (same as main): Supertrend — CAGR 19.8%, MDD -53.2%, Sharpe 0.75, 64% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 3.3%p (CAGR 14.3%, MDD -29.1%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=11, mult=2.6 |
19.8% | -53.2% | 0.75 | 0.37 | 4.6x | 40 | 64% |
| SMA 크로스오버 fast=9, slow=53 |
14.7% | -45.0% | 0.62 | 0.33 | 3.2x | 34 | 60% |
| Donchian 채널 돌파 entryN=54, exitN=59 |
14.3% | -29.1% | 0.61 | 0.49 | 3.1x | 15 | 58% |
| EMA 크로스오버 fast=13, slow=35 |
13.7% | -52.2% | 0.59 | 0.26 | 3.0x | 44 | 60% |
| ROC 모멘텀 n=44, threshold=-0.02 |
12.5% | -58.4% | 0.54 | 0.21 | 2.7x | 114 | 65% |
| ADX / DI 방향성 period=23, threshold=8 |
12.2% | -42.8% | 0.53 | 0.28 | 2.7x | 92 | 65% |
| 볼린저 밴드 돌파 n=48, k=3.3 |
7.3% | -19.1% | 0.52 | 0.38 | 1.8x | 14 | 20% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=26, mult=2.7 |
7.5% | -30.0% | 0.42 | 0.25 | 1.8x | 26 | 41% |
| Parabolic SAR step=0.005, maxStep=0.24 |
5.7% | -51.1% | 0.34 | 0.11 | 1.6x | 64 | 58% |
| MACD fast=11, slow=18, signal=13 |
-5.5% | -51.7% | -0.08 | -0.11 | 0.6x | 178 | 48% |
| Buy and hold | 18.2% | -56.5% | 0.63 | 0.32 | 4.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 11-day volatility, 2.6× band
- Sell — Sell when price drops below the trend line (flips down)