Trend-Following Backtester · Guide · backtest 한국어
equity · IN
CRISIL Limited backtest
10 trend-following strategies were compared on the full daily history of CRISIL Limited. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 19.2%, MDD -29.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 22.7%, drawdown -55.2%).
Sharpe leader (same as main): Supertrend — CAGR 21.0%, MDD -50.3%, Sharpe 0.88, 63% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.6%p lower than buy and hold, while drawdown improves by 4.9%p (CAGR 19.2%, MDD -29.6%, exposure 53%).
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=21, mult=3.6 |
21.0% | -50.3% | 0.88 | 0.42 | 99.4x | 73 | 63% |
| Donchian 채널 돌파 entryN=41, exitN=24 |
19.2% | -29.6% | 0.86 | 0.65 | 68.4x | 61 | 53% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=25, mult=2.7 |
16.9% | -38.7% | 0.82 | 0.44 | 43.3x | 55 | 44% |
| SMA 크로스오버 fast=33, slow=75 |
19.5% | -42.1% | 0.82 | 0.46 | 72.5x | 75 | 61% |
| EMA 크로스오버 fast=35, slow=62 |
17.0% | -48.0% | 0.76 | 0.35 | 43.7x | 63 | 62% |
| 볼린저 밴드 돌파 n=56, k=1.2 |
13.6% | -42.8% | 0.67 | 0.32 | 21.7x | 131 | 50% |
| ROC 모멘텀 n=72, threshold=0.03 |
13.2% | -66.2% | 0.63 | 0.20 | 20.0x | 238 | 55% |
| MACD fast=22, slow=65, signal=29 |
12.3% | -47.9% | 0.62 | 0.26 | 16.3x | 163 | 50% |
| ADX / DI 방향성 period=37, threshold=11 |
11.3% | -52.1% | 0.56 | 0.22 | 13.3x | 193 | 58% |
| Parabolic SAR step=0.015, maxStep=0.12 |
5.4% | -66.2% | 0.34 | 0.08 | 3.6x | 393 | 52% |
| Buy and hold | 22.7% | -55.2% | 0.80 | 0.41 | 137.1x | 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) — 21-day volatility, 3.6× band
- Sell — Sell when price drops below the trend line (flips down)