Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Hindalco Industries Limited backtest
10 trend-following strategies were compared on the full daily history of Hindalco Industries Limited. 6 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 9.1%, MDD -54.0%).
Results by strategy
6 of 10 beat buy and hold (CAGR 8.6%, drawdown -83.0%).
Sharpe leader (same as main): Supertrend — CAGR 13.5%, MDD -64.5%, Sharpe 0.59, 53% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 14.6%, MDD -67.9%, exposure 77%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 18.5%p (CAGR 9.1%, MDD -54.0%, exposure 47%).
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=17, mult=3.5 |
13.5% | -64.5% | 0.59 | 0.21 | 47.5x | 144 | 53% |
| Donchian 채널 돌파 entryN=6, exitN=24 |
14.6% | -67.9% | 0.57 | 0.21 | 64.3x | 185 | 77% |
| ADX / DI 방향성 period=27, threshold=20 |
7.5% | -39.7% | 0.49 | 0.19 | 9.2x | 110 | 21% |
| SMA 크로스오버 fast=19, slow=154 |
9.8% | -70.7% | 0.47 | 0.14 | 17.4x | 74 | 53% |
| ROC 모멘텀 n=136, threshold=0.08 |
9.2% | -68.2% | 0.47 | 0.14 | 14.9x | 190 | 44% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=27, mult=1.1 |
9.1% | -54.0% | 0.46 | 0.17 | 14.4x | 208 | 47% |
| EMA 크로스오버 fast=46, slow=78 |
9.3% | -62.9% | 0.45 | 0.15 | 15.1x | 70 | 55% |
| Parabolic SAR step=0.005, maxStep=0.24 |
7.2% | -63.9% | 0.39 | 0.11 | 8.5x | 258 | 51% |
| 볼린저 밴드 돌파 n=45, k=1.3 |
6.9% | -67.7% | 0.39 | 0.10 | 7.6x | 202 | 43% |
| MACD fast=13, slow=35, signal=13 |
3.2% | -72.3% | 0.26 | 0.04 | 2.7x | 443 | 51% |
| Buy and hold | 8.6% | -83.0% | 0.41 | 0.10 | 12.4x | 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) — 17-day volatility, 3.5× band
- Sell — Sell when price drops below the trend line (flips down)