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 19.6%, MDD -19.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR 16.5%, drawdown -79.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 31.1%, MDD -35.8%, Sharpe 1.04, 53% exposure.
CAGR reference leader: Supertrend — CAGR 33.6%, MDD -42.4%, exposure 73%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 14.5%p higher than buy and hold, while drawdown improves by 43.2%p (CAGR 19.6%, MDD -19.9%, exposure 34%).
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 |
31.1% | -35.8% | 1.04 | 0.87 | 5.8x | 11 | 53% |
| Supertrend period=15, mult=4.9 |
33.6% | -42.4% | 1.01 | 0.79 | 6.5x | 11 | 73% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=12, mult=2 |
25.0% | -40.1% | 0.97 | 0.62 | 4.3x | 22 | 39% |
| 볼린저 밴드 돌파 n=48, k=1.8 |
25.2% | -29.1% | 0.96 | 0.87 | 4.3x | 23 | 38% |
| SMA 크로스오버 fast=30, slow=54 |
27.4% | -31.5% | 0.95 | 0.87 | 4.8x | 32 | 53% |
| Parabolic SAR step=0.01, maxStep=0.14 |
28.0% | -34.2% | 0.93 | 0.82 | 4.9x | 81 | 50% |
| ROC 모멘텀 n=41, threshold=0.14 |
21.2% | -36.3% | 0.91 | 0.58 | 3.5x | 48 | 24% |
| ADX / DI 방향성 period=19, threshold=22 |
19.6% | -19.9% | 0.84 | 0.98 | 3.2x | 39 | 34% |
| EMA 크로스오버 fast=30, slow=162 |
18.7% | -28.9% | 0.80 | 0.65 | 3.0x | 8 | 57% |
| MACD fast=15, slow=34, signal=10 |
8.7% | -62.8% | 0.42 | 0.14 | 1.7x | 103 | 47% |
| Buy and hold | 16.5% | -79.0% | 0.58 | 0.21 | 2.7x | 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