Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Marksans Pharma Limited backtest
10 trend-following strategies were compared on the full daily history of Marksans Pharma Limited. 7 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 31.7%, MDD -56.6%).
Results by strategy
7 of 10 beat buy and hold (CAGR 22.5%, drawdown -96.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 40.1%, MDD -61.5%, Sharpe 1.10, 41% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 17.6%p higher than buy and hold, while drawdown improves by 35.0%p (CAGR 31.7%, MDD -56.6%, exposure 27%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=148, threshold=0.14 |
40.1% | -61.5% | 1.10 | 0.65 | 3396.6x | 69 | 41% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=17, mult=4 |
31.7% | -56.6% | 1.07 | 0.56 | 763.8x | 39 | 27% |
| 볼린저 밴드 돌파 n=16, k=1.1 |
36.1% | -62.2% | 1.01 | 0.58 | 1698.4x | 361 | 38% |
| SMA 크로스오버 fast=65, slow=181 |
37.4% | -87.9% | 1.00 | 0.43 | 2126.8x | 27 | 46% |
| EMA 크로스오버 fast=8, slow=218 |
37.0% | -84.5% | 1.00 | 0.44 | 1986.6x | 39 | 46% |
| MACD fast=11, slow=31, signal=16 |
31.1% | -84.8% | 0.87 | 0.37 | 682.4x | 313 | 49% |
| Donchian 채널 돌파 entryN=96, exitN=47 |
25.7% | -78.4% | 0.81 | 0.33 | 249.9x | 35 | 42% |
| Supertrend period=20, mult=4.8 |
22.5% | -89.0% | 0.71 | 0.25 | 132.3x | 79 | 50% |
| ADX / DI 방향성 period=21, threshold=11 |
21.1% | -91.9% | 0.67 | 0.23 | 101.8x | 321 | 53% |
| Parabolic SAR step=0.015, maxStep=0.32 |
16.0% | -88.5% | 0.58 | 0.18 | 35.7x | 381 | 51% |
| Buy and hold | 22.5% | -96.4% | 0.65 | 0.23 | 133.3x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 148-day return is greater than 14%
- Sell — Sell when the 148-day return drops to 14% or below