Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Avenue Supermarts Ltd. backtest
10 trend-following strategies were compared on the full daily history of Avenue Supermarts Ltd.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 16.2%, MDD -30.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 21.3%, drawdown -39.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 19.8%, MDD -33.9%, Sharpe 0.79, 86% exposure.
Return/drawdown alternative: Supertrend — CAGR is 1.5%p lower than buy and hold, while drawdown improves by 5.4%p (CAGR 16.2%, MDD -30.6%, exposure 67%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=12, exitN=55 |
19.8% | -33.9% | 0.79 | 0.58 | 5.4x | 22 | 86% |
| Supertrend period=24, mult=4.9 |
16.2% | -30.6% | 0.74 | 0.53 | 4.1x | 24 | 67% |
| EMA 크로스오버 fast=16, slow=36 |
14.2% | -37.2% | 0.68 | 0.38 | 3.5x | 48 | 62% |
| ADX / DI 방향성 period=27, threshold=32 |
6.5% | -17.3% | 0.68 | 0.38 | 1.8x | 6 | 9% |
| ROC 모멘텀 n=65, threshold=-0.01 |
13.2% | -33.5% | 0.64 | 0.39 | 3.2x | 84 | 63% |
| 볼린저 밴드 돌파 n=31, k=2.9 |
7.1% | -25.5% | 0.57 | 0.28 | 1.9x | 22 | 19% |
| SMA 크로스오버 fast=46, slow=52 |
10.7% | -40.0% | 0.54 | 0.27 | 2.6x | 72 | 61% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=10, mult=1 |
8.3% | -31.5% | 0.47 | 0.26 | 2.1x | 60 | 56% |
| MACD fast=18, slow=32, signal=14 |
7.2% | -33.3% | 0.43 | 0.22 | 1.9x | 110 | 51% |
| Parabolic SAR step=0.01, maxStep=0.32 |
4.1% | -57.2% | 0.29 | 0.07 | 1.5x | 122 | 53% |
| Buy and hold | 21.3% | -39.3% | 0.78 | 0.54 | 6.1x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 12 days
- Sell — Sell when price breaks below the lowest low of the last 55 days