Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Deepak Nitrite Limited backtest
10 trend-following strategies were compared on the full daily history of Deepak Nitrite Limited. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 29.1%, MDD -41.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 33.2%, drawdown -58.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 30.5%, MDD -50.8%, Sharpe 1.03, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.7%p lower than buy and hold, while drawdown improves by 7.7%p (CAGR 29.1%, MDD -41.7%, exposure 62%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=180, threshold=0.03 |
30.5% | -50.8% | 1.03 | 0.60 | 67.6x | 68 | 59% |
| SMA 크로스오버 fast=22, slow=166 |
29.1% | -41.7% | 0.98 | 0.70 | 56.9x | 27 | 62% |
| EMA 크로스오버 fast=51, slow=162 |
29.4% | -46.4% | 0.97 | 0.63 | 59.0x | 16 | 66% |
| ADX / DI 방향성 period=37, threshold=15 |
21.5% | -54.5% | 0.92 | 0.39 | 21.8x | 66 | 38% |
| 볼린저 밴드 돌파 n=44, k=2.4 |
18.9% | -36.3% | 0.87 | 0.52 | 15.4x | 52 | 31% |
| Supertrend period=29, mult=3.3 |
21.7% | -46.0% | 0.86 | 0.47 | 22.5x | 81 | 51% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=13, mult=1.1 |
20.6% | -47.4% | 0.85 | 0.43 | 19.3x | 132 | 45% |
| Donchian 채널 돌파 entryN=41, exitN=70 |
22.4% | -53.2% | 0.80 | 0.42 | 24.5x | 27 | 63% |
| MACD fast=12, slow=38, signal=8 |
13.7% | -44.5% | 0.62 | 0.31 | 7.7x | 278 | 50% |
| Parabolic SAR step=0.015, maxStep=0.12 |
11.1% | -49.9% | 0.53 | 0.22 | 5.3x | 268 | 54% |
| Buy and hold | 33.2% | -58.5% | 0.95 | 0.57 | 93.3x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 180-day return is greater than 3%
- Sell — Sell when the 180-day return drops to 3% or below