Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Astral Limited backtest
10 trend-following strategies were compared on the full daily history of Astral Limited. 4 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 34.6%, MDD -38.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR 34.3%, drawdown -86.2%).
Sharpe leader (same as main): Supertrend — CAGR 37.4%, MDD -42.8%, Sharpe 1.23, 61% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 43.4%p (CAGR 34.6%, MDD -38.1%, exposure 67%).
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=18, mult=2.4 |
37.4% | -42.8% | 1.23 | 0.88 | 472.3x | 111 | 61% |
| ADX / DI 방향성 period=35, threshold=13 |
35.2% | -39.3% | 1.19 | 0.89 | 341.6x | 102 | 55% |
| EMA 크로스오버 fast=25, slow=33 |
34.6% | -38.1% | 1.13 | 0.91 | 313.4x | 74 | 67% |
| Parabolic SAR step=0.02, maxStep=0.02 |
32.4% | -35.0% | 1.10 | 0.93 | 228.9x | 115 | 60% |
| SMA 크로스오버 fast=11, slow=70 |
33.0% | -37.1% | 1.10 | 0.89 | 249.5x | 82 | 65% |
| Donchian 채널 돌파 entryN=43, exitN=55 |
34.7% | -54.4% | 1.09 | 0.64 | 319.8x | 34 | 73% |
| 볼린저 밴드 돌파 n=30, k=1.1 |
26.6% | -34.7% | 1.00 | 0.77 | 96.9x | 182 | 52% |
| ROC 모멘텀 n=99, threshold=-0.04 |
30.7% | -50.7% | 0.99 | 0.61 | 179.4x | 128 | 77% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=19, mult=1.2 |
24.7% | -43.9% | 0.93 | 0.56 | 72.1x | 124 | 56% |
| MACD fast=11, slow=31, signal=10 |
18.7% | -45.0% | 0.75 | 0.42 | 27.8x | 319 | 50% |
| Buy and hold | 34.3% | -86.2% | 0.95 | 0.40 | 303.9x | 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) — 18-day volatility, 2.4× band
- Sell — Sell when price drops below the trend line (flips down)