Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Linde India Ltd. backtest
10 trend-following strategies were compared on the full daily history of Linde India Ltd.. 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 27.3%, drawdown -55.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 22.9%, MDD -57.5%, Sharpe 0.67, 80% 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=36, exitN=102 |
22.9% | -57.5% | 0.67 | 0.40 | 225.3x | 28 | 80% |
| Supertrend period=11, mult=4.6 |
21.4% | -59.3% | 0.66 | 0.36 | 162.3x | 58 | 64% |
| EMA 크로스오버 fast=9, slow=79 |
20.3% | -49.0% | 0.64 | 0.41 | 128.5x | 102 | 59% |
| SMA 크로스오버 fast=4, slow=202 |
20.0% | -54.5% | 0.63 | 0.37 | 120.0x | 74 | 66% |
| MACD fast=19, slow=67, signal=17 |
18.6% | -47.3% | 0.62 | 0.39 | 88.7x | 236 | 49% |
| ROC 모멘텀 n=134, threshold=-0.01 |
19.1% | -59.1% | 0.61 | 0.32 | 98.0x | 200 | 67% |
| Keltner 채널 돌파 emaPeriod=89, atrPeriod=17, mult=0.9 |
17.9% | -53.2% | 0.59 | 0.34 | 76.0x | 144 | 54% |
| 볼린저 밴드 돌파 n=42, k=1.4 |
15.1% | -54.3% | 0.54 | 0.28 | 40.2x | 178 | 42% |
| ADX / DI 방향성 period=26, threshold=12 |
13.8% | -63.5% | 0.50 | 0.22 | 29.8x | 262 | 59% |
| Parabolic SAR step=0.015, maxStep=0.36 |
10.2% | -65.0% | 0.42 | 0.16 | 12.7x | 440 | 51% |
| Buy and hold | 27.3% | -55.5% | 0.73 | 0.49 | 563.2x | 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 36 days
- Sell — Sell when price breaks below the lowest low of the last 102 days