Trend-Following Backtester · Guide · backtest 한국어

equity · IN

Coforge Limited backtest

10 trend-following strategies were compared on the full daily history of Coforge Limited. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 22.1%, MDD -46.2%).

Data 2004-08-30 ~ 2026-07-31daily bars 5,419 (21.9 years)Costs 0.5%Venue NSEMonthly snapshot 2026-07-31

Results by strategy

2 of 10 beat buy and hold (CAGR 21.1%, drawdown -89.3%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 21.3%, MDD -47.2%, Sharpe 0.76, 65% exposure.

CAGR reference leader: ROC 모멘텀 — CAGR 22.1%, MDD -46.2%, exposure 78%.

Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 42.1%p (CAGR 22.1%, MDD -46.2%, exposure 78%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=20, exitN=25
21.3%-47.2%0.760.4569.2x8365%
ROC 모멘텀
n=180, threshold=-0.1
22.1%-46.2%0.740.4879.8x9578%
Supertrend
period=19, mult=3.1
19.3%-49.4%0.730.3947.7x10759%
SMA 크로스오버
fast=49, slow=248
20.2%-57.0%0.700.3556.2x2067%
Keltner 채널 돌파
emaPeriod=58, atrPeriod=29, mult=1.9
15.0%-42.4%0.640.3521.2x9544%
EMA 크로스오버
fast=41, slow=60
16.5%-49.6%0.630.3328.6x6163%
ADX / DI 방향성
period=35, threshold=12
12.8%-59.6%0.570.2114.0x15648%
볼린저 밴드 돌파
n=59, k=2
12.0%-45.3%0.560.2712.1x8741%
MACD
fast=16, slow=42, signal=18
12.9%-53.7%0.550.2414.2x23752%
Parabolic SAR
step=0.03, maxStep=0.12
5.9%-56.8%0.340.103.5x51753%
Buy and hold21.1%-89.3%0.660.2466.0x1100%
1x 10x 100x 2005 2008 2011 2014 2017 2020 2023 2026 ROC 모멘텀Donchian 채널 돌파Buy and hold
Donchian 채널 돌파 (Sharpe leader), ROC 모멘텀 (CAGR reference), Buy and hold.
0% -22% -45% -67% -89% 2005 2008 2011 2014 2017 2020 2023 2026 Buy and holdROC 모멘텀Donchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -47.2% (2007-05-29 → 2009-01-27), recovered after 808 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

Read next