Trend-Following Backtester · Guide · backtest 한국어
equity · IN
KPIT Technologies Limited backtest
10 trend-following strategies were compared on the full daily history of KPIT Technologies Limited. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 29.8%, MDD -28.1%).
Results by strategy
7 of 10 beat buy and hold (CAGR 26.4%, drawdown -70.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 48.1%, MDD -38.2%, Sharpe 1.38, 51% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 48.1%, MDD -39.0%, exposure 57%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 21.7%p higher than buy and hold, while drawdown improves by 32.5%p (CAGR 29.8%, MDD -28.1%, 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=90, exitN=48 |
48.1% | -38.2% | 1.38 | 1.26 | 18.0x | 4 | 51% |
| ROC 모멘텀 n=76, threshold=0.09 |
45.8% | -30.9% | 1.36 | 1.48 | 16.0x | 30 | 48% |
| EMA 크로스오버 fast=26, slow=219 |
48.1% | -39.0% | 1.34 | 1.23 | 18.0x | 2 | 57% |
| SMA 크로스오버 fast=16, slow=219 |
47.7% | -39.0% | 1.33 | 1.22 | 17.6x | 4 | 57% |
| ADX / DI 방향성 period=42, threshold=12 |
33.2% | -41.8% | 1.08 | 0.79 | 8.2x | 36 | 47% |
| 볼린저 밴드 돌파 n=45, k=1.3 |
32.3% | -34.7% | 1.08 | 0.93 | 7.8x | 42 | 48% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=23, mult=2.1 |
29.8% | -28.1% | 1.07 | 1.06 | 6.8x | 28 | 40% |
| MACD fast=6, slow=23, signal=17 |
20.4% | -38.7% | 0.77 | 0.53 | 3.9x | 135 | 48% |
| Supertrend period=11, mult=2.6 |
20.7% | -56.5% | 0.74 | 0.37 | 4.0x | 57 | 60% |
| Parabolic SAR step=0.015, maxStep=0.12 |
19.5% | -45.1% | 0.73 | 0.43 | 3.7x | 120 | 53% |
| Buy and hold | 26.4% | -70.7% | 0.76 | 0.37 | 5.6x | 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 90 days
- Sell — Sell when price breaks below the lowest low of the last 48 days