Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Kirloskar Brothers Ltd. backtest
10 trend-following strategies were compared on the full daily history of Kirloskar Brothers Ltd.. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 15.0%, MDD -50.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR 7.9%, drawdown -88.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.0%, MDD -50.5%, Sharpe 0.63, 31% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 15.5%, MDD -58.1%, exposure 51%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 7.1%p higher than buy and hold, while drawdown improves by 37.5%p (CAGR 15.0%, MDD -50.5%, exposure 31%).
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=117, exitN=33 |
15.0% | -50.5% | 0.63 | 0.30 | 17.0x | 27 | 31% |
| SMA 크로스오버 fast=25, slow=115 |
15.5% | -58.1% | 0.59 | 0.27 | 18.8x | 43 | 51% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=27, mult=3.7 |
11.7% | -57.3% | 0.56 | 0.20 | 9.4x | 33 | 20% |
| Supertrend period=9, mult=4.9 |
14.2% | -62.5% | 0.55 | 0.23 | 15.0x | 41 | 54% |
| ROC 모멘텀 n=132, threshold=-0.02 |
13.0% | -64.0% | 0.53 | 0.20 | 12.0x | 149 | 54% |
| EMA 크로스오버 fast=40, slow=161 |
12.7% | -51.0% | 0.53 | 0.25 | 11.4x | 31 | 51% |
| 볼린저 밴드 돌파 n=50, k=0.8 |
11.6% | -62.5% | 0.49 | 0.18 | 9.2x | 149 | 43% |
| ADX / DI 방향성 period=24, threshold=17 |
10.1% | -64.8% | 0.46 | 0.16 | 7.1x | 132 | 42% |
| Parabolic SAR step=0.015, maxStep=0.18 |
7.9% | -63.8% | 0.39 | 0.12 | 4.7x | 330 | 49% |
| MACD fast=16, slow=25, signal=13 |
-4.3% | -93.9% | 0.04 | -0.05 | 0.4x | 316 | 50% |
| Buy and hold | 7.9% | -88.0% | 0.40 | 0.09 | 4.7x | 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 117 days
- Sell — Sell when price breaks below the lowest low of the last 33 days