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. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 35.0%, MDD -39.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 34.5%, drawdown -86.2%).
Sharpe leader (same as main): Supertrend — CAGR 37.6%, MDD -42.8%, Sharpe 1.23, 61% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 43.4%p (CAGR 35.0%, MDD -39.3%, exposure 55%).
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 |
37.6% | -42.8% | 1.23 | 0.88 | 496.3x | 111 | 61% |
| ADX / DI 방향성 period=35, threshold=13 |
35.0% | -39.3% | 1.19 | 0.89 | 341.6x | 102 | 55% |
| EMA 크로스오버 fast=25, slow=33 |
34.0% | -38.1% | 1.12 | 0.89 | 298.1x | 75 | 67% |
| Parabolic SAR step=0.02, maxStep=0.02 |
32.6% | -36.0% | 1.11 | 0.90 | 240.5x | 115 | 61% |
| SMA 크로스오버 fast=11, slow=70 |
32.7% | -37.1% | 1.10 | 0.88 | 245.6x | 83 | 65% |
| Donchian 채널 돌파 entryN=43, exitN=55 |
34.2% | -56.6% | 1.08 | 0.60 | 304.2x | 35 | 73% |
| 볼린저 밴드 돌파 n=30, k=1.1 |
26.7% | -34.7% | 1.00 | 0.77 | 100.3x | 183 | 52% |
| ROC 모멘텀 n=99, threshold=-0.04 |
30.2% | -50.7% | 0.98 | 0.60 | 168.5x | 132 | 76% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=19, mult=1.2 |
24.3% | -46.7% | 0.92 | 0.52 | 68.6x | 125 | 56% |
| MACD fast=11, slow=31, signal=10 |
19.0% | -45.0% | 0.75 | 0.42 | 29.3x | 319 | 50% |
| Buy and hold | 34.5% | -86.2% | 0.95 | 0.40 | 319.4x | 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)