Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Larsen & Toubro Limited backtest
10 trend-following strategies were compared on the full daily history of Larsen & Toubro Limited. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 20.9%, drawdown -75.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 11.4%, MDD -33.4%, Sharpe 0.76, 20% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 18.0%, MDD -62.4%, exposure 67%.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=33, threshold=21 |
11.4% | -33.4% | 0.76 | 0.34 | 13.4x | 56 | 20% |
| Donchian 채널 돌파 entryN=119, exitN=57 |
14.9% | -40.2% | 0.74 | 0.37 | 28.4x | 36 | 54% |
| 볼린저 밴드 돌파 n=41, k=2.8 |
10.4% | -22.8% | 0.70 | 0.46 | 10.8x | 54 | 21% |
| Supertrend period=17, mult=4.6 |
15.3% | -61.6% | 0.69 | 0.25 | 31.1x | 78 | 62% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=18, mult=4 |
10.6% | -33.0% | 0.67 | 0.32 | 11.4x | 58 | 26% |
| EMA 크로스오버 fast=28, slow=64 |
18.0% | -62.4% | 0.66 | 0.29 | 54.1x | 74 | 67% |
| ROC 모멘텀 n=95, threshold=0.12 |
12.2% | -38.0% | 0.66 | 0.32 | 15.9x | 199 | 42% |
| SMA 크로스오버 fast=55, slow=128 |
14.6% | -64.2% | 0.65 | 0.23 | 26.8x | 43 | 66% |
| Parabolic SAR step=0.005, maxStep=0.2 |
11.4% | -53.2% | 0.57 | 0.21 | 13.6x | 218 | 57% |
| MACD fast=15, slow=40, signal=13 |
8.5% | -66.5% | 0.46 | 0.13 | 7.1x | 316 | 51% |
| Buy and hold | 20.9% | -75.1% | 0.67 | 0.28 | 96.9x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 33-day) is ≥ 21
- Sell — Sell when direction flips or the trend weakens (ADX < 21)