Trend-Following Backtester · Guide · backtest 한국어
equity · IN
DLF Limited backtest
10 trend-following strategies were compared on the full daily history of DLF Limited. 7 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.4%, MDD -23.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR 0.7%, drawdown -93.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.1%, MDD -43.9%, Sharpe 0.40, 29% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.4%p higher than buy and hold, while drawdown improves by 49.4%p (CAGR 3.4%, MDD -23.7%, exposure 6%).
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=57, threshold=0.13 |
7.1% | -43.9% | 0.40 | 0.16 | 3.7x | 179 | 29% |
| 볼린저 밴드 돌파 n=28, k=2.6 |
6.3% | -44.2% | 0.40 | 0.14 | 3.2x | 74 | 20% |
| ADX / DI 방향성 period=21, threshold=31 |
3.4% | -23.7% | 0.38 | 0.14 | 1.9x | 22 | 6% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=16, mult=2.7 |
5.6% | -61.0% | 0.35 | 0.09 | 2.8x | 71 | 27% |
| EMA 크로스오버 fast=9, slow=21 |
4.6% | -64.7% | 0.30 | 0.07 | 2.4x | 187 | 51% |
| MACD fast=29, slow=32, signal=12 |
2.5% | -72.9% | 0.24 | 0.03 | 1.6x | 232 | 51% |
| SMA 크로스오버 fast=39, slow=103 |
2.1% | -80.2% | 0.22 | 0.03 | 1.5x | 49 | 48% |
| Donchian 채널 돌파 entryN=5, exitN=72 |
-1.5% | -90.0% | 0.18 | -0.02 | 0.7x | 75 | 88% |
| Supertrend period=8, mult=3.3 |
0.1% | -70.9% | 0.16 | 0.00 | 1.0x | 113 | 48% |
| Parabolic SAR step=0.01, maxStep=0.2 |
-4.1% | -86.7% | 0.03 | -0.05 | 0.4x | 268 | 52% |
| Buy and hold | 0.7% | -93.3% | 0.26 | 0.01 | 1.2x | 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 57-day return is greater than 13%
- Sell — Sell when the 57-day return drops to 13% or below