Trend-Following Backtester · Guide · backtest 한국어

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Marico Limited backtest

10 trend-following strategies were compared on the full daily history of Marico Limited. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 22.6%, MDD -40.6%).

Data 1996-05-01 ~ 2026-07-31daily bars 7,592 (30.2 years)Costs 0.5%Venue NSEMonthly snapshot 2026-07-31

Results by strategy

1 of 10 beat buy and hold (CAGR 23.2%, drawdown -67.8%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 24.2%, MDD -48.6%, Sharpe 0.87, 93% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 19.2%p (CAGR 22.6%, MDD -40.6%, exposure 94%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
n=121, threshold=-0.15
24.2%-48.6%0.870.50700.8x2593%
Donchian 채널 돌파
entryN=5, exitN=100
22.6%-40.6%0.830.56470.0x4394%
Supertrend
period=14, mult=4.9
16.4%-36.6%0.740.4599.8x5969%
SMA 크로스오버
fast=55, slow=218
16.3%-51.5%0.700.3297.4x3575%
EMA 크로스오버
fast=34, slow=60
15.0%-47.2%0.680.3268.0x7969%
볼린저 밴드 돌파
n=61, k=1.2
9.0%-49.1%0.500.1813.7x17151%
Parabolic SAR
step=0.005, maxStep=0.12
9.2%-37.1%0.480.2514.3x23158%
ADX / DI 방향성
period=43, threshold=12
7.1%-48.1%0.420.157.9x15952%
MACD
fast=24, slow=37, signal=16
3.2%-62.1%0.250.052.6x33951%
Keltner 채널 돌파
emaPeriod=20, atrPeriod=16, mult=3.1
2.2%-42.5%0.250.051.9x488%
Buy and hold23.2%-67.8%0.820.34553.9x1100%
1x 10x 100x 1997 2001 2005 2009 2013 2017 2021 2025 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -17% -34% -51% -68% 1997 2001 2005 2009 2013 2017 2021 2025 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -48.6% (1997-08-07 → 1998-06-23), recovered after 543 days.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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