Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Himadri Speciality Chemical Ltd. backtest
10 trend-following strategies were compared on the full daily history of Himadri Speciality Chemical Ltd.. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 14.5%, MDD -27.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR 17.1%, drawdown -91.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 28.5%, MDD -56.3%, Sharpe 0.96, 39% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 30.0%, MDD -54.6%, exposure 51%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.4%p higher than buy and hold, while drawdown improves by 35.0%p (CAGR 14.5%, MDD -27.5%, exposure 12%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=96, exitN=36 |
28.5% | -56.3% | 0.96 | 0.51 | 132.5x | 23 | 39% |
| SMA 크로스오버 fast=34, slow=130 |
30.0% | -54.6% | 0.92 | 0.55 | 167.8x | 33 | 51% |
| EMA 크로스오버 fast=41, slow=117 |
28.6% | -65.0% | 0.89 | 0.44 | 135.1x | 31 | 52% |
| ROC 모멘텀 n=112, threshold=0.05 |
28.3% | -61.6% | 0.88 | 0.46 | 128.5x | 129 | 49% |
| ADX / DI 방향성 period=33, threshold=26 |
14.5% | -27.5% | 0.88 | 0.53 | 14.1x | 18 | 12% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=16, mult=2.1 |
22.6% | -70.4% | 0.81 | 0.32 | 53.1x | 70 | 36% |
| 볼린저 밴드 돌파 n=41, k=2.2 |
22.1% | -59.2% | 0.79 | 0.37 | 49.0x | 88 | 33% |
| Supertrend period=21, mult=5 |
20.2% | -83.4% | 0.68 | 0.24 | 36.1x | 45 | 56% |
| MACD fast=18, slow=57, signal=16 |
13.1% | -76.5% | 0.51 | 0.17 | 11.1x | 200 | 47% |
| Parabolic SAR step=0.04, maxStep=0.34 |
5.0% | -78.8% | 0.32 | 0.06 | 2.6x | 604 | 47% |
| Buy and hold | 17.1% | -91.3% | 0.56 | 0.19 | 21.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 96 days
- Sell — Sell when price breaks below the lowest low of the last 36 days