Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Jubilant Pharmova Limited backtest
10 trend-following strategies were compared on the full daily history of Jubilant Pharmova Limited. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 27.4%, MDD -36.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 29.5%, drawdown -81.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 27.4%, MDD -36.3%, Sharpe 1.03, 40% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 33.1%, MDD -57.9%, exposure 59%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.1%p lower than buy and hold, while drawdown improves by 45.1%p (CAGR 27.4%, MDD -36.3%, exposure 40%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=20, threshold=21 |
27.4% | -36.3% | 1.03 | 0.76 | 350.9x | 152 | 40% |
| Supertrend period=22, mult=5 |
26.4% | -50.3% | 0.90 | 0.52 | 287.9x | 48 | 61% |
| SMA 크로스오버 fast=29, slow=42 |
22.4% | -56.0% | 0.83 | 0.40 | 133.3x | 164 | 54% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=18, mult=2.9 |
16.2% | -54.2% | 0.79 | 0.30 | 37.7x | 80 | 26% |
| 볼린저 밴드 돌파 n=44, k=3.1 |
15.5% | -52.6% | 0.77 | 0.30 | 32.8x | 70 | 26% |
| ROC 모멘텀 n=29, threshold=0.14 |
15.0% | -42.4% | 0.74 | 0.35 | 29.1x | 226 | 22% |
| Donchian 채널 돌파 entryN=41, exitN=8 |
14.4% | -37.5% | 0.71 | 0.38 | 26.0x | 120 | 27% |
| Parabolic SAR step=0.005, maxStep=0.36 |
11.3% | -69.6% | 0.51 | 0.16 | 13.4x | 194 | 53% |
| EMA 크로스오버 fast=24, slow=50 |
33.1% | -57.9% | 0.49 | 0.57 | 1011.1x | 78 | 59% |
| MACD fast=5, slow=49, signal=15 |
25.8% | -64.2% | 0.42 | 0.40 | 258.6x | 420 | 47% |
| Buy and hold | 29.5% | -81.4% | 0.48 | 0.36 | 516.7x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 20-day) is ≥ 21
- Sell — Sell when direction flips or the trend weakens (ADX < 21)