Trend-Following Backtester · Guide · backtest 한국어
equity · IN
HFCL Limited backtest
10 trend-following strategies were compared on the full daily history of HFCL Limited. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 10.2%, MDD -45.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR 7.0%, drawdown -89.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 16.7%, MDD -70.4%, Sharpe 0.59, 33% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.7%p higher than buy and hold, while drawdown improves by 18.9%p (CAGR 10.2%, MDD -45.9%, exposure 9%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=8, k=1.3 |
16.7% | -70.4% | 0.59 | 0.24 | 40.8x | 615 | 33% |
| ADX / DI 방향성 period=16, threshold=37 |
10.2% | -45.9% | 0.54 | 0.22 | 10.4x | 50 | 9% |
| MACD fast=7, slow=56, signal=9 |
14.7% | -85.5% | 0.53 | 0.17 | 27.2x | 467 | 47% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=25, mult=4 |
9.5% | -62.1% | 0.53 | 0.15 | 8.9x | 38 | 7% |
| SMA 크로스오버 fast=35, slow=148 |
11.8% | -85.4% | 0.47 | 0.14 | 14.6x | 51 | 43% |
| Supertrend period=5, mult=3.3 |
10.9% | -84.6% | 0.45 | 0.13 | 12.0x | 129 | 54% |
| ROC 모멘텀 n=195, threshold=0.09 |
10.5% | -85.2% | 0.45 | 0.12 | 11.0x | 141 | 36% |
| EMA 크로스오버 fast=10, slow=27 |
8.0% | -71.4% | 0.39 | 0.11 | 6.3x | 205 | 44% |
| Parabolic SAR step=0.04, maxStep=0.26 |
6.9% | -79.3% | 0.37 | 0.09 | 5.0x | 727 | 45% |
| Donchian 채널 돌파 entryN=14, exitN=69 |
4.0% | -91.3% | 0.33 | 0.04 | 2.6x | 71 | 75% |
| Buy and hold | 7.0% | -89.3% | 0.41 | 0.08 | 5.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 8-day average (1.3× volatility)
- Sell — Sell when the close falls back to the 8-day middle average