Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Central Depository Services (India) Limited backtest
10 trend-following strategies were compared on the full daily history of Central Depository Services (India) Limited. 7 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 32.1%, MDD -25.2%).
Results by strategy
7 of 10 beat buy and hold (CAGR 20.0%, drawdown -64.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 32.1%, MDD -25.2%, Sharpe 1.15, 46% exposure.
CAGR reference leader: Supertrend — CAGR 33.1%, MDD -41.8%, exposure 66%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 12.1%p higher than buy and hold, while drawdown improves by 39.7%p (CAGR 32.1%, MDD -25.2%, exposure 46%).
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=45, threshold=12 |
32.1% | -25.2% | 1.15 | 1.27 | 12.8x | 26 | 46% |
| EMA 크로스오버 fast=20, slow=62 |
32.4% | -28.3% | 1.14 | 1.15 | 13.1x | 23 | 52% |
| SMA 크로스오버 fast=17, slow=71 |
32.3% | -31.2% | 1.12 | 1.04 | 13.1x | 25 | 55% |
| Donchian 채널 돌파 entryN=51, exitN=29 |
29.2% | -31.6% | 1.09 | 0.92 | 10.5x | 19 | 46% |
| Supertrend period=8, mult=4.7 |
33.1% | -41.8% | 1.08 | 0.79 | 13.8x | 17 | 66% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=20, mult=2.4 |
25.0% | -25.3% | 1.02 | 0.99 | 7.7x | 25 | 41% |
| ROC 모멘텀 n=146, threshold=0.01 |
26.6% | -39.7% | 0.97 | 0.67 | 8.7x | 39 | 49% |
| 볼린저 밴드 돌파 n=46, k=2 |
17.2% | -35.5% | 0.78 | 0.48 | 4.3x | 41 | 37% |
| Parabolic SAR step=0.005, maxStep=0.26 |
18.7% | -44.0% | 0.77 | 0.42 | 4.8x | 67 | 55% |
| MACD fast=24, slow=31, signal=17 |
10.9% | -48.6% | 0.54 | 0.23 | 2.6x | 97 | 52% |
| Buy and hold | 20.0% | -64.9% | 0.67 | 0.31 | 5.3x | 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, 45-day) is ≥ 12
- Sell — Sell when direction flips or the trend weakens (ADX < 12)