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 31.4%, drawdown -26.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 25.7%, MDD -30.6%, Sharpe 0.92, 94% 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 |
25.7% | -30.6% | 0.92 | 0.84 | 3.2x | 29 | 94% |
| Supertrend period=16, mult=3 |
20.4% | -27.3% | 0.89 | 0.75 | 2.6x | 19 | 58% |
| SMA 크로스오버 fast=49, slow=93 |
18.1% | -23.1% | 0.85 | 0.78 | 2.3x | 15 | 59% |
| EMA 크로스오버 fast=84, slow=215 |
18.9% | -32.8% | 0.84 | 0.58 | 2.4x | 5 | 78% |
| ROC 모멘텀 n=95, threshold=-0.04 |
16.9% | -27.0% | 0.74 | 0.63 | 2.2x | 41 | 75% |
| MACD fast=17, slow=48, signal=15 |
12.5% | -22.9% | 0.67 | 0.55 | 1.8x | 60 | 48% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=22, mult=0.7 |
12.7% | -27.1% | 0.65 | 0.47 | 1.8x | 43 | 57% |
| 볼린저 밴드 돌파 n=42, k=1.2 |
11.5% | -27.5% | 0.62 | 0.42 | 1.7x | 36 | 50% |
| ADX / DI 방향성 period=27, threshold=28 |
4.9% | -13.7% | 0.53 | 0.36 | 1.3x | 4 | 14% |
| Parabolic SAR step=0.025, maxStep=0.16 |
9.6% | -24.7% | 0.50 | 0.39 | 1.6x | 113 | 55% |
| Buy and hold | 31.4% | -26.3% | 1.04 | 1.20 | 4.0x | 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