Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Diamond Power Infrastructure Limited backtest
10 trend-following strategies were compared on the full daily history of Diamond Power Infrastructure Limited. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 40.7%, MDD -50.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -10.0%, drawdown -99.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 64.7%, MDD -66.0%, Sharpe 1.80, 19% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 74.6%p higher than buy and hold, while drawdown improves by 33.9%p (CAGR 40.7%, MDD -50.6%, exposure 26%).
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=6, threshold=0.09 |
64.7% | -66.0% | 1.80 | 0.98 | 2805.3x | 250 | 19% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=26, mult=1.8 |
40.7% | -50.6% | 1.49 | 0.80 | 229.2x | 86 | 26% |
| MACD fast=7, slow=53, signal=5 |
47.6% | -83.4% | 1.11 | 0.57 | 493.4x | 330 | 46% |
| Supertrend period=15, mult=2.4 |
34.0% | -88.1% | 1.05 | 0.39 | 105.8x | 119 | 44% |
| ADX / DI 방향성 period=9, threshold=28 |
30.5% | -88.1% | 1.04 | 0.35 | 69.1x | 153 | 34% |
| Parabolic SAR step=0.045, maxStep=0.22 |
30.1% | -88.1% | 0.91 | 0.34 | 66.3x | 404 | 50% |
| 볼린저 밴드 돌파 n=18, k=1.4 |
24.2% | -88.1% | 0.89 | 0.27 | 31.5x | 160 | 37% |
| SMA 크로스오버 fast=1, slow=126 |
19.4% | -87.2% | 0.71 | 0.22 | 16.9x | 97 | 39% |
| Donchian 채널 돌파 entryN=43, exitN=18 |
13.6% | -91.4% | 0.68 | 0.15 | 7.6x | 47 | 34% |
| EMA 크로스오버 fast=7, slow=24 |
13.6% | -91.1% | 0.64 | 0.15 | 7.7x | 133 | 46% |
| Buy and hold | -10.0% | -99.9% | 0.25 | -0.10 | 0.2x | 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 6-day return is greater than 9%
- Sell — Sell when the 6-day return drops to 9% or below