Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Edelweiss Financial Services Limited backtest
10 trend-following strategies were compared on the full daily history of Edelweiss Financial Services Limited. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 9.6%, MDD -30.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR 2.4%, drawdown -90.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.8%, MDD -42.0%, Sharpe 0.68, 35% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 14.5%p higher than buy and hold, while drawdown improves by 48.6%p (CAGR 9.6%, MDD -30.7%, exposure 18%).
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=24, exitN=12 |
16.8% | -42.0% | 0.68 | 0.40 | 18.4x | 93 | 35% |
| 볼린저 밴드 돌파 n=41, k=2.6 |
12.5% | -46.4% | 0.61 | 0.27 | 9.1x | 50 | 22% |
| SMA 크로스오버 fast=9, slow=31 |
12.8% | -53.0% | 0.53 | 0.24 | 9.6x | 169 | 48% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=13, mult=2 |
9.6% | -30.7% | 0.52 | 0.31 | 5.6x | 96 | 18% |
| Supertrend period=27, mult=3.4 |
11.5% | -49.3% | 0.51 | 0.23 | 7.7x | 83 | 39% |
| EMA 크로스오버 fast=52, slow=187 |
11.4% | -63.9% | 0.50 | 0.18 | 7.6x | 21 | 50% |
| ADX / DI 방향성 period=23, threshold=14 |
9.0% | -55.2% | 0.43 | 0.16 | 5.0x | 171 | 44% |
| MACD fast=16, slow=50, signal=17 |
9.0% | -74.6% | 0.42 | 0.12 | 5.0x | 209 | 49% |
| ROC 모멘텀 n=102, threshold=0.01 |
6.8% | -79.4% | 0.36 | 0.09 | 3.4x | 183 | 50% |
| Parabolic SAR step=0.015, maxStep=0.14 |
3.8% | -88.4% | 0.28 | 0.04 | 2.0x | 295 | 49% |
| Buy and hold | 2.4% | -90.7% | 0.30 | 0.03 | 1.6x | 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 24 days
- Sell — Sell when price breaks below the lowest low of the last 12 days