Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Caplin Point Laboratories Limited backtest
10 trend-following strategies were compared on the full daily history of Caplin Point Laboratories Limited. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 36.8%, MDD -37.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 42.0%, drawdown -74.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 36.8%, MDD -37.7%, Sharpe 1.06, 54% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.2%p lower than buy and hold, while drawdown improves by 36.9%p (CAGR 36.8%, MDD -37.7%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=23, slow=124 |
36.8% | -37.7% | 1.06 | 0.98 | 44.4x | 25 | 54% |
| EMA 크로스오버 fast=35, slow=79 |
34.5% | -38.9% | 0.99 | 0.89 | 36.3x | 25 | 58% |
| Donchian 채널 돌파 entryN=63, exitN=29 |
25.3% | -36.9% | 0.89 | 0.69 | 15.3x | 23 | 38% |
| ROC 모멘텀 n=114, threshold=0.13 |
26.1% | -44.8% | 0.87 | 0.58 | 16.5x | 75 | 44% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=13, mult=2.3 |
20.6% | -48.6% | 0.80 | 0.42 | 9.7x | 46 | 30% |
| 볼린저 밴드 돌파 n=45, k=2.4 |
20.5% | -44.2% | 0.78 | 0.46 | 9.5x | 35 | 29% |
| Supertrend period=19, mult=4.1 |
22.2% | -68.8% | 0.74 | 0.32 | 11.3x | 43 | 57% |
| ADX / DI 방향성 period=41, threshold=16 |
18.1% | -43.4% | 0.70 | 0.42 | 7.5x | 39 | 33% |
| Parabolic SAR step=0.02, maxStep=0.28 |
16.5% | -68.6% | 0.61 | 0.24 | 6.4x | 237 | 53% |
| MACD fast=10, slow=27, signal=11 |
10.3% | -55.1% | 0.46 | 0.19 | 3.3x | 216 | 49% |
| Buy and hold | 42.0% | -74.6% | 0.97 | 0.56 | 69.9x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 23-day average price crosses above the 124-day average
- Sell — Sell (to cash) when the 23-day average falls below the 124-day average