Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Krishna Institute of Medical Sciences Limited backtest
10 trend-following strategies were compared on the full daily history of Krishna Institute of Medical Sciences Limited. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 29.2%, drawdown -26.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 23.9%, MDD -30.6%, Sharpe 0.88, 93% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=1, exitN=37 |
23.9% | -30.6% | 0.88 | 0.78 | 3.0x | 30 | 93% |
| Supertrend period=16, mult=3 |
18.8% | -27.3% | 0.83 | 0.69 | 2.4x | 20 | 59% |
| SMA 크로스오버 fast=49, slow=93 |
16.3% | -23.1% | 0.79 | 0.71 | 2.2x | 15 | 59% |
| EMA 크로스오버 fast=84, slow=215 |
17.2% | -32.8% | 0.77 | 0.52 | 2.3x | 5 | 79% |
| ROC 모멘텀 n=95, threshold=-0.04 |
15.2% | -27.0% | 0.68 | 0.56 | 2.1x | 41 | 76% |
| MACD fast=17, slow=48, signal=15 |
12.3% | -22.9% | 0.66 | 0.54 | 1.8x | 60 | 47% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=22, mult=0.7 |
12.0% | -27.1% | 0.62 | 0.44 | 1.8x | 44 | 57% |
| 볼린저 밴드 돌파 n=42, k=1.2 |
11.3% | -27.5% | 0.62 | 0.41 | 1.7x | 36 | 49% |
| ADX / DI 방향성 period=27, threshold=28 |
4.8% | -13.7% | 0.53 | 0.35 | 1.3x | 4 | 14% |
| Parabolic SAR step=0.025, maxStep=0.16 |
8.3% | -24.7% | 0.45 | 0.34 | 1.5x | 116 | 54% |
| Buy and hold | 29.2% | -26.3% | 0.99 | 1.11 | 3.8x | 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 1 days
- Sell — Sell when price breaks below the lowest low of the last 37 days