Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Blue Star Limited backtest
10 trend-following strategies were compared on the full daily history of Blue Star Limited. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 26.2%, MDD -50.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 25.0%, drawdown -76.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 32.4%, MDD -50.7%, Sharpe 0.95, 73% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 7.4%p higher than buy and hold, while drawdown improves by 25.7%p (CAGR 26.2%, MDD -50.7%, exposure 71%).
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=81, exitN=105 |
32.4% | -50.7% | 0.95 | 0.64 | 887.4x | 12 | 73% |
| ROC 모멘텀 n=103, threshold=-0.03 |
26.6% | -62.4% | 0.82 | 0.43 | 299.9x | 162 | 72% |
| EMA 크로스오버 fast=36, slow=112 |
26.2% | -50.7% | 0.82 | 0.52 | 274.3x | 30 | 71% |
| SMA 크로스오버 fast=53, slow=115 |
26.1% | -50.7% | 0.82 | 0.51 | 272.0x | 40 | 69% |
| ADX / DI 방향성 period=27, threshold=8 |
23.7% | -62.2% | 0.78 | 0.38 | 172.1x | 242 | 67% |
| Supertrend period=26, mult=3.9 |
21.3% | -50.4% | 0.73 | 0.42 | 105.3x | 72 | 60% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=9, mult=0.2 |
21.0% | -51.1% | 0.72 | 0.41 | 100.4x | 312 | 59% |
| 볼린저 밴드 돌파 n=40, k=0.8 |
18.6% | -50.7% | 0.67 | 0.37 | 61.5x | 216 | 53% |
| MACD fast=15, slow=22, signal=19 |
16.9% | -57.8% | 0.63 | 0.29 | 43.5x | 302 | 51% |
| Parabolic SAR step=0.025, maxStep=0.14 |
8.3% | -78.3% | 0.45 | 0.11 | 6.9x | 536 | 53% |
| Buy and hold | 25.0% | -76.4% | 0.75 | 0.33 | 219.7x | 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 81 days
- Sell — Sell when price breaks below the lowest low of the last 105 days