Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Fine Organic Industries Ltd. backtest
10 trend-following strategies were compared on the full daily history of Fine Organic Industries Ltd.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 23.6%, MDD -31.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 24.4%, drawdown -51.3%).
Sharpe leader (same as main): Supertrend — CAGR 23.6%, MDD -31.2%, Sharpe 0.88, 55% exposure.
Return/drawdown alternative: Supertrend — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 20.1%p (CAGR 23.6%, MDD -31.2%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=16, mult=3.6 |
23.6% | -31.2% | 0.88 | 0.76 | 5.5x | 27 | 55% |
| Donchian 채널 돌파 entryN=13, exitN=41 |
19.2% | -44.1% | 0.71 | 0.44 | 4.1x | 23 | 72% |
| SMA 크로스오버 fast=42, slow=71 |
16.7% | -37.7% | 0.67 | 0.44 | 3.5x | 25 | 57% |
| MACD fast=8, slow=89, signal=30 |
14.4% | -29.9% | 0.66 | 0.48 | 3.0x | 68 | 42% |
| EMA 크로스오버 fast=52, slow=147 |
16.4% | -49.0% | 0.65 | 0.33 | 3.4x | 11 | 63% |
| ROC 모멘텀 n=87, threshold=0.03 |
14.7% | -32.3% | 0.62 | 0.45 | 3.0x | 51 | 58% |
| Keltner 채널 돌파 emaPeriod=100, atrPeriod=14, mult=1.7 |
12.8% | -44.1% | 0.58 | 0.29 | 2.6x | 28 | 52% |
| 볼린저 밴드 돌파 n=60, k=1.1 |
11.7% | -33.6% | 0.54 | 0.35 | 2.4x | 40 | 49% |
| Parabolic SAR step=0.005, maxStep=0.28 |
9.4% | -32.7% | 0.47 | 0.29 | 2.1x | 64 | 53% |
| ADX / DI 방향성 period=21, threshold=10 |
5.9% | -43.3% | 0.34 | 0.14 | 1.6x | 106 | 64% |
| Buy and hold | 24.4% | -51.3% | 0.79 | 0.47 | 5.8x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 16-day volatility, 3.6× band
- Sell — Sell when price drops below the trend line (flips down)