Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Coromandel International Limited backtest
10 trend-following strategies were compared on the full daily history of Coromandel International Limited. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 24.4%, drawdown -57.1%).
Sharpe leader (same as main): Supertrend — CAGR 19.9%, MDD -51.0%, Sharpe 0.71, 64% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 21.2%, MDD -59.3%, exposure 80%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=13, mult=4.3 |
19.9% | -51.0% | 0.71 | 0.39 | 77.3x | 49 | 64% |
| Donchian 채널 돌파 entryN=23, exitN=76 |
21.2% | -59.3% | 0.71 | 0.36 | 100.5x | 39 | 80% |
| EMA 크로스오버 fast=11, slow=107 |
16.1% | -44.4% | 0.61 | 0.36 | 35.7x | 75 | 65% |
| SMA 크로스오버 fast=19, slow=302 |
14.7% | -60.1% | 0.58 | 0.24 | 26.6x | 34 | 67% |
| Parabolic SAR step=0.005, maxStep=0.28 |
12.6% | -42.8% | 0.54 | 0.29 | 17.2x | 185 | 55% |
| 볼린저 밴드 돌파 n=44, k=1.2 |
11.5% | -43.2% | 0.52 | 0.27 | 13.5x | 159 | 46% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=16, mult=1.6 |
11.1% | -46.7% | 0.52 | 0.24 | 12.6x | 116 | 43% |
| ROC 모멘텀 n=126, threshold=-0.01 |
11.3% | -59.5% | 0.48 | 0.19 | 13.0x | 204 | 67% |
| MACD fast=18, slow=48, signal=11 |
9.5% | -48.3% | 0.45 | 0.20 | 8.7x | 300 | 52% |
| ADX / DI 방향성 period=18, threshold=8 |
8.0% | -50.9% | 0.40 | 0.16 | 6.3x | 381 | 57% |
| Buy and hold | 24.4% | -57.1% | 0.74 | 0.43 | 187.2x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 13-day volatility, 4.3× band
- Sell — Sell when price drops below the trend line (flips down)