Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Hindustan Zinc Limited backtest
10 trend-following strategies were compared on the full daily history of Hindustan Zinc Limited. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 20.6%, MDD -34.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 26.3%, drawdown -75.2%).
Sharpe leader (same as main): Supertrend — CAGR 5.4%, MDD -67.4%, Sharpe 0.33, 51% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 23.3%, MDD -71.4%, exposure 84%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 21.0%p lower than buy and hold, while drawdown improves by 7.9%p (CAGR 20.6%, MDD -34.8%, exposure 33%).
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=13, mult=4.9 |
5.4% | -67.4% | 0.33 | 0.08 | 3.5x | 48 | 51% |
| SMA 크로스오버 fast=42, slow=196 |
4.9% | -48.4% | 0.31 | 0.10 | 3.1x | 32 | 48% |
| EMA 크로스오버 fast=54, slow=102 |
4.1% | -48.9% | 0.28 | 0.08 | 2.6x | 40 | 48% |
| ROC 모멘텀 n=104, threshold=0.12 |
3.5% | -52.7% | 0.26 | 0.07 | 2.3x | 148 | 29% |
| Donchian 채널 돌파 entryN=12, exitN=58 |
23.3% | -71.4% | 0.21 | 0.33 | 152.3x | 67 | 84% |
| MACD fast=17, slow=23, signal=15 |
19.1% | -79.3% | 0.21 | 0.24 | 65.4x | 291 | 56% |
| ADX / DI 방향성 period=37, threshold=18 |
20.6% | -34.8% | 0.21 | 0.59 | 88.9x | 60 | 33% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=19, mult=1.7 |
14.9% | -78.7% | 0.20 | 0.19 | 27.9x | 124 | 18% |
| Parabolic SAR step=0.045, maxStep=0.38 |
7.4% | -92.6% | 0.20 | 0.08 | 5.5x | 699 | 58% |
| 볼린저 밴드 돌파 n=31, k=3.1 |
1.5% | -52.9% | 0.17 | 0.03 | 1.4x | 44 | 10% |
| Buy and hold | 26.3% | -75.2% | 0.22 | 0.35 | 271.6x | 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) — 13-day volatility, 4.9× band
- Sell — Sell when price drops below the trend line (flips down)