Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Dabur India Limited backtest
10 trend-following strategies were compared on the full daily history of Dabur India Limited. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 17.5%, drawdown -55.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.6%, MDD -55.1%, Sharpe 0.57, 66% exposure.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=37, slow=163 |
14.6% | -55.1% | 0.57 | 0.26 | 26.5x | 38 | 66% |
| Donchian 채널 돌파 entryN=58, exitN=77 |
11.4% | -65.3% | 0.54 | 0.17 | 13.5x | 28 | 76% |
| EMA 크로스오버 fast=43, slow=211 |
12.9% | -55.1% | 0.52 | 0.23 | 18.5x | 32 | 72% |
| Supertrend period=25, mult=4.8 |
7.7% | -76.0% | 0.44 | 0.10 | 5.9x | 50 | 62% |
| Keltner 채널 돌파 emaPeriod=129, atrPeriod=28, mult=2.8 |
5.0% | -74.7% | 0.35 | 0.07 | 3.3x | 56 | 48% |
| ROC 모멘텀 n=81, threshold=-0.04 |
5.0% | -70.4% | 0.33 | 0.07 | 3.2x | 235 | 73% |
| ADX / DI 방향성 period=39, threshold=13 |
4.4% | -44.3% | 0.33 | 0.10 | 2.8x | 114 | 36% |
| 볼린저 밴드 돌파 n=58, k=1.7 |
1.2% | -72.2% | 0.18 | 0.02 | 1.3x | 122 | 45% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-0.9% | -81.6% | 0.10 | -0.01 | 0.8x | 202 | 57% |
| MACD fast=17, slow=25, signal=18 |
-6.6% | -91.6% | -0.17 | -0.07 | 0.2x | 340 | 52% |
| Buy and hold | 17.5% | -55.1% | 0.61 | 0.32 | 48.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 37-day average price crosses above the 163-day average
- Sell — Sell (to cash) when the 37-day average falls below the 163-day average