Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Cohance Lifesciences Ltd backtest
10 trend-following strategies were compared on the full daily history of Cohance Lifesciences Ltd. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 18.6%, MDD -19.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR 15.5%, drawdown -79.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 30.1%, MDD -35.8%, Sharpe 1.01, 53% exposure.
CAGR reference leader: Supertrend — CAGR 32.7%, MDD -42.4%, exposure 73%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 14.6%p higher than buy and hold, while drawdown improves by 43.2%p (CAGR 18.6%, MDD -19.9%, exposure 33%).
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=41, exitN=43 |
30.1% | -35.8% | 1.01 | 0.84 | 5.4x | 11 | 53% |
| Supertrend period=15, mult=4.9 |
32.7% | -42.4% | 0.99 | 0.77 | 6.1x | 11 | 73% |
| 볼린저 밴드 돌파 n=48, k=1.8 |
26.0% | -29.1% | 0.98 | 0.89 | 4.4x | 22 | 37% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=12, mult=2 |
25.4% | -40.1% | 0.98 | 0.63 | 4.3x | 22 | 39% |
| Parabolic SAR step=0.01, maxStep=0.14 |
28.8% | -34.2% | 0.95 | 0.84 | 5.1x | 80 | 50% |
| SMA 크로스오버 fast=30, slow=54 |
26.8% | -31.5% | 0.94 | 0.85 | 4.6x | 31 | 53% |
| ROC 모멘텀 n=41, threshold=0.14 |
21.5% | -36.3% | 0.92 | 0.59 | 3.5x | 48 | 24% |
| ADX / DI 방향성 period=19, threshold=22 |
18.6% | -19.9% | 0.82 | 0.93 | 3.0x | 39 | 33% |
| EMA 크로스오버 fast=30, slow=162 |
18.9% | -28.9% | 0.81 | 0.65 | 3.0x | 8 | 58% |
| MACD fast=15, slow=34, signal=10 |
8.5% | -62.8% | 0.42 | 0.14 | 1.7x | 102 | 47% |
| Buy and hold | 15.5% | -79.0% | 0.55 | 0.20 | 2.5x | 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 41 days
- Sell — Sell when price breaks below the lowest low of the last 43 days