Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Cyient Limited backtest
10 trend-following strategies were compared on the full daily history of Cyient Limited. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 23.3%, MDD -34.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR 13.3%, drawdown -82.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 23.3%, MDD -34.9%, Sharpe 1.03, 32% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.0%p higher than buy and hold, while drawdown improves by 47.8%p (CAGR 23.3%, MDD -34.9%, exposure 32%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=32, threshold=18 |
23.3% | -34.9% | 1.03 | 0.67 | 67.6x | 46 | 32% |
| Supertrend period=20, mult=5 |
22.3% | -48.6% | 0.89 | 0.46 | 57.1x | 33 | 51% |
| ROC 모멘텀 n=79, threshold=0.13 |
18.8% | -38.2% | 0.87 | 0.49 | 32.1x | 121 | 32% |
| SMA 크로스오버 fast=47, slow=264 |
18.3% | -39.0% | 0.81 | 0.47 | 29.0x | 18 | 48% |
| EMA 크로스오버 fast=28, slow=61 |
18.9% | -45.7% | 0.79 | 0.41 | 32.6x | 51 | 52% |
| Donchian 채널 돌파 entryN=97, exitN=19 |
15.1% | -37.8% | 0.75 | 0.40 | 16.7x | 33 | 31% |
| 볼린저 밴드 돌파 n=62, k=2.2 |
16.0% | -46.9% | 0.74 | 0.34 | 19.8x | 61 | 37% |
| Keltner 채널 돌파 emaPeriod=71, atrPeriod=12, mult=2.7 |
15.4% | -52.4% | 0.73 | 0.29 | 17.9x | 49 | 34% |
| Parabolic SAR step=0.005, maxStep=0.2 |
6.3% | -68.6% | 0.36 | 0.09 | 3.4x | 157 | 51% |
| MACD fast=25, slow=39, signal=28 |
3.8% | -69.2% | 0.27 | 0.05 | 2.1x | 169 | 51% |
| Buy and hold | 13.3% | -82.8% | 0.52 | 0.16 | 12.4x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 32-day) is ≥ 18
- Sell — Sell when direction flips or the trend weakens (ADX < 18)