Trend-Following Backtester · Guide · backtest 한국어
equity · IN
IOL Chemicals & Pharmaceuticals Ltd. backtest
10 trend-following strategies were compared on the full daily history of IOL Chemicals & Pharmaceuticals Ltd.. 7 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 19.6%, MDD -48.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR 17.8%, drawdown -74.0%).
Sharpe leader (same as main): Supertrend — CAGR 26.1%, MDD -58.1%, Sharpe 0.83, 45% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 8.3%p higher than buy and hold, while drawdown improves by 15.9%p (CAGR 19.6%, MDD -48.8%, exposure 26%).
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=32, mult=1.4 |
26.1% | -58.1% | 0.83 | 0.45 | 38.4x | 256 | 45% |
| 볼린저 밴드 돌파 n=24, k=1.4 |
21.6% | -54.8% | 0.76 | 0.39 | 21.7x | 162 | 36% |
| Donchian 채널 돌파 entryN=20, exitN=5 |
19.6% | -48.8% | 0.76 | 0.40 | 16.6x | 112 | 26% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=20, mult=1.8 |
17.7% | -49.8% | 0.74 | 0.35 | 12.9x | 92 | 21% |
| EMA 크로스오버 fast=35, slow=244 |
20.3% | -50.1% | 0.68 | 0.40 | 18.3x | 19 | 51% |
| SMA 크로스오버 fast=30, slow=133 |
18.8% | -53.1% | 0.66 | 0.35 | 15.1x | 39 | 46% |
| ROC 모멘텀 n=115, threshold=-0.01 |
18.8% | -65.5% | 0.65 | 0.29 | 15.0x | 139 | 49% |
| MACD fast=10, slow=49, signal=15 |
18.6% | -66.0% | 0.64 | 0.28 | 14.5x | 208 | 48% |
| ADX / DI 방향성 period=33, threshold=18 |
16.1% | -58.4% | 0.63 | 0.28 | 10.5x | 51 | 30% |
| Parabolic SAR step=0.015, maxStep=0.32 |
13.5% | -75.7% | 0.52 | 0.18 | 7.4x | 276 | 49% |
| Buy and hold | 17.8% | -74.0% | 0.58 | 0.24 | 13.1x | 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) — 32-day volatility, 1.4× band
- Sell — Sell when price drops below the trend line (flips down)