Trend-Following Backtester · Guide · backtest 한국어
equity · IN
NATCO Pharma Limited backtest
10 trend-following strategies were compared on the full daily history of NATCO Pharma Limited. 6 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 17.7%, MDD -57.7%).
Results by strategy
6 of 10 beat buy and hold (CAGR 13.4%, drawdown -90.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 17.7%, MDD -57.7%, Sharpe 0.66, 38% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.3%p higher than buy and hold, while drawdown improves by 32.6%p (CAGR 17.7%, MDD -57.7%, exposure 38%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=55, k=1.8 |
17.7% | -57.7% | 0.66 | 0.31 | 147.1x | 126 | 38% |
| Supertrend period=24, mult=4.8 |
17.4% | -69.7% | 0.63 | 0.25 | 138.1x | 86 | 44% |
| Donchian 채널 돌파 entryN=77, exitN=31 |
16.1% | -67.9% | 0.60 | 0.24 | 97.9x | 62 | 45% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=14, mult=2 |
15.2% | -68.6% | 0.59 | 0.22 | 76.6x | 122 | 38% |
| Parabolic SAR step=0.005, maxStep=0.22 |
16.0% | -74.8% | 0.58 | 0.21 | 95.3x | 226 | 53% |
| SMA 크로스오버 fast=13, slow=50 |
15.3% | -61.6% | 0.57 | 0.25 | 79.4x | 174 | 53% |
| EMA 크로스오버 fast=30, slow=123 |
13.0% | -88.7% | 0.51 | 0.15 | 42.2x | 58 | 56% |
| ROC 모멘텀 n=35, threshold=-0.02 |
11.6% | -85.2% | 0.47 | 0.14 | 29.2x | 488 | 58% |
| ADX / DI 방향성 period=36, threshold=8 |
7.2% | -92.5% | 0.37 | 0.08 | 8.4x | 338 | 57% |
| MACD fast=13, slow=67, signal=11 |
6.1% | -78.2% | 0.34 | 0.08 | 6.2x | 428 | 51% |
| Buy and hold | 13.4% | -90.3% | 0.50 | 0.15 | 47.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 55-day average (1.8× volatility)
- Sell — Sell when the close falls back to the 55-day middle average