Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Honeywell Automation India Limited backtest
10 trend-following strategies were compared on the full daily history of Honeywell Automation India Limited. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 23.1%, MDD -37.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 25.3%, drawdown -73.8%).
Sharpe leader (same as main): Supertrend — CAGR 23.1%, MDD -37.5%, Sharpe 0.92, 56% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 23.2%, MDD -63.8%, exposure 85%.
Return/drawdown alternative: Supertrend — CAGR is 2.2%p lower than buy and hold, while drawdown improves by 36.3%p (CAGR 23.1%, MDD -37.5%, exposure 56%).
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=18, mult=3.8 |
23.1% | -37.5% | 0.92 | 0.62 | 151.0x | 71 | 56% |
| 볼린저 밴드 돌파 n=28, k=1.5 |
18.9% | -40.1% | 0.83 | 0.47 | 65.1x | 208 | 42% |
| Donchian 채널 돌파 entryN=10, exitN=68 |
23.2% | -63.8% | 0.81 | 0.36 | 153.8x | 57 | 85% |
| MACD fast=25, slow=56, signal=17 |
17.5% | -56.9% | 0.77 | 0.31 | 49.0x | 204 | 50% |
| SMA 크로스오버 fast=22, slow=39 |
17.7% | -48.7% | 0.75 | 0.36 | 51.1x | 148 | 55% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=10, mult=1.6 |
15.8% | -40.4% | 0.74 | 0.39 | 34.6x | 120 | 43% |
| EMA 크로스오버 fast=63, slow=204 |
19.0% | -52.4% | 0.72 | 0.36 | 66.4x | 23 | 73% |
| ROC 모멘텀 n=26, threshold=-0.02 |
17.2% | -59.1% | 0.70 | 0.29 | 45.9x | 404 | 64% |
| ADX / DI 방향성 period=14, threshold=12 |
13.7% | -60.4% | 0.60 | 0.23 | 22.3x | 410 | 61% |
| Parabolic SAR step=0.015, maxStep=0.22 |
12.7% | -69.2% | 0.59 | 0.18 | 17.9x | 400 | 52% |
| Buy and hold | 25.3% | -73.8% | 0.81 | 0.34 | 231.1x | 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) — 18-day volatility, 3.8× band
- Sell — Sell when price drops below the trend line (flips down)