Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Castrol India Limited backtest
10 trend-following strategies were compared on the full daily history of Castrol India Limited. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.0%, MDD -27.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 5.8%, drawdown -66.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.3%, MDD -10.0%, Sharpe 0.57, 4% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 5.0%, MDD -27.0%, exposure 13%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.5%p lower than buy and hold, while drawdown improves by 56.3%p (CAGR 5.0%, MDD -27.0%, exposure 13%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=33, threshold=32 |
3.3% | -10.0% | 0.57 | 0.33 | 2.2x | 6 | 4% |
| 볼린저 밴드 돌파 n=52, k=3.4 |
5.0% | -27.0% | 0.48 | 0.19 | 3.2x | 20 | 13% |
| EMA 크로스오버 fast=16, slow=33 |
3.7% | -59.0% | 0.28 | 0.06 | 2.4x | 111 | 40% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=28, mult=1.4 |
3.3% | -57.2% | 0.27 | 0.06 | 2.2x | 118 | 31% |
| Supertrend period=16, mult=4.9 |
3.4% | -66.7% | 0.27 | 0.05 | 2.2x | 50 | 41% |
| SMA 크로스오버 fast=30, slow=181 |
3.0% | -73.2% | 0.25 | 0.04 | 2.0x | 34 | 41% |
| MACD fast=22, slow=48, signal=22 |
2.8% | -40.8% | 0.24 | 0.07 | 2.0x | 176 | 60% |
| ROC 모멘텀 n=132, threshold=0.1 |
1.5% | -51.5% | 0.18 | 0.03 | 1.4x | 138 | 28% |
| Donchian 채널 돌파 entryN=7, exitN=68 |
-1.1% | -77.3% | 0.10 | -0.01 | 0.8x | 77 | 88% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-4.1% | -73.9% | -0.07 | -0.06 | 0.4x | 157 | 57% |
| Buy and hold | 5.8% | -66.3% | 0.35 | 0.09 | 3.8x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 33-day) is ≥ 32
- Sell — Sell when direction flips or the trend weakens (ADX < 32)