Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Godawari Power & Ispat Ltd. backtest
10 trend-following strategies were compared on the full daily history of Godawari Power & Ispat Ltd.. 9 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 18.1%, MDD -30.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR 11.7%, drawdown -87.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 18.1%, MDD -30.5%, Sharpe 0.81, 16% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 21.8%, MDD -82.8%, exposure 50%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.4%p higher than buy and hold, while drawdown improves by 57.3%p (CAGR 18.1%, MDD -30.5%, exposure 16%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=6, mult=3.4 |
18.1% | -30.5% | 0.81 | 0.59 | 29.1x | 34 | 16% |
| ADX / DI 방향성 period=33, threshold=24 |
17.7% | -44.0% | 0.76 | 0.40 | 27.3x | 40 | 21% |
| 볼린저 밴드 돌파 n=47, k=2.4 |
20.0% | -82.1% | 0.76 | 0.24 | 40.6x | 64 | 30% |
| Donchian 채널 돌파 entryN=93, exitN=43 |
20.8% | -80.5% | 0.75 | 0.26 | 45.8x | 28 | 39% |
| SMA 크로스오버 fast=9, slow=47 |
21.8% | -82.8% | 0.74 | 0.26 | 54.7x | 126 | 50% |
| EMA 크로스오버 fast=27, slow=152 |
20.4% | -80.1% | 0.72 | 0.25 | 43.2x | 30 | 49% |
| Supertrend period=19, mult=4.8 |
18.5% | -86.4% | 0.67 | 0.21 | 31.1x | 52 | 53% |
| ROC 모멘텀 n=65, threshold=0 |
18.3% | -84.4% | 0.67 | 0.22 | 29.9x | 214 | 52% |
| Parabolic SAR step=0.015, maxStep=0.14 |
14.8% | -81.0% | 0.60 | 0.18 | 16.4x | 327 | 52% |
| MACD fast=7, slow=27, signal=14 |
11.5% | -86.1% | 0.53 | 0.13 | 9.0x | 391 | 51% |
| Buy and hold | 11.7% | -87.8% | 0.52 | 0.13 | 9.4x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 37-day average + 3.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 37-day average