Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Grasim Industries Ltd. backtest
10 trend-following strategies were compared on the full daily history of Grasim Industries Ltd.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 18.6%, drawdown -88.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 11.2%, MDD -27.8%, Sharpe 0.83, 19% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 14.9%, MDD -84.9%, exposure 55%.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=27, threshold=22 |
11.2% | -27.8% | 0.83 | 0.40 | 13.0x | 74 | 19% |
| SMA 크로스오버 fast=59, slow=215 |
12.7% | -47.9% | 0.62 | 0.27 | 18.0x | 35 | 64% |
| Donchian 채널 돌파 entryN=61, exitN=68 |
9.6% | -88.0% | 0.56 | 0.11 | 9.0x | 37 | 66% |
| EMA 크로스오버 fast=14, slow=77 |
8.9% | -87.3% | 0.55 | 0.10 | 7.8x | 83 | 65% |
| Supertrend period=16, mult=4.8 |
7.7% | -89.1% | 0.51 | 0.09 | 6.0x | 59 | 61% |
| Keltner 채널 돌파 emaPeriod=69, atrPeriod=18, mult=1.5 |
6.0% | -87.5% | 0.46 | 0.07 | 4.1x | 123 | 54% |
| ROC 모멘텀 n=64, threshold=0.05 |
5.5% | -90.3% | 0.44 | 0.06 | 3.6x | 243 | 50% |
| 볼린저 밴드 돌파 n=58, k=0.6 |
14.9% | -84.9% | 0.31 | 0.18 | 28.3x | 176 | 55% |
| MACD fast=15, slow=58, signal=18 |
13.5% | -85.1% | 0.30 | 0.16 | 20.9x | 262 | 51% |
| Parabolic SAR step=0.005, maxStep=0.18 |
10.6% | -85.0% | 0.28 | 0.12 | 11.3x | 222 | 54% |
| Buy and hold | 18.6% | -88.4% | 0.35 | 0.21 | 60.9x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 27-day) is ≥ 22
- Sell — Sell when direction flips or the trend weakens (ADX < 22)