Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Dr. Reddy's Laboratories Ltd. backtest
10 trend-following strategies were compared on the full daily history of Dr. Reddy's Laboratories Ltd.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 16.3%, drawdown -81.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.8%, MDD -89.4%, Sharpe 0.47, 64% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 16.4%, MDD -82.1%, exposure 85%.
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=56, slow=249 |
9.8% | -89.4% | 0.47 | 0.11 | 17.3x | 27 | 64% |
| Donchian 채널 돌파 entryN=16, exitN=76 |
16.4% | -82.1% | 0.39 | 0.20 | 103.1x | 56 | 85% |
| EMA 크로스오버 fast=57, slow=202 |
5.6% | -92.8% | 0.36 | 0.06 | 5.3x | 38 | 67% |
| ROC 모멘텀 n=136, threshold=-0.03 |
9.1% | -81.0% | 0.31 | 0.11 | 14.3x | 224 | 69% |
| Supertrend period=18, mult=4.5 |
7.5% | -80.7% | 0.28 | 0.09 | 9.0x | 106 | 54% |
| MACD fast=16, slow=37, signal=17 |
4.2% | -81.1% | 0.23 | 0.05 | 3.5x | 354 | 52% |
| Parabolic SAR step=0.005, maxStep=0.2 |
1.2% | -79.5% | 0.19 | 0.02 | 1.4x | 254 | 52% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=11, mult=1.8 |
1.0% | -81.7% | 0.18 | 0.01 | 1.4x | 196 | 37% |
| ADX / DI 방향성 period=29, threshold=17 |
1.4% | -51.3% | 0.17 | 0.03 | 1.5x | 180 | 25% |
| 볼린저 밴드 돌파 n=37, k=2.3 |
-0.1% | -81.3% | 0.17 | -0.00 | 1.0x | 146 | 28% |
| Buy and hold | 16.3% | -81.5% | 0.39 | 0.20 | 102.4x | 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 56-day average price crosses above the 249-day average
- Sell — Sell (to cash) when the 56-day average falls below the 249-day average