Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Neuland Laboratories Ltd. backtest
10 trend-following strategies were compared on the full daily history of Neuland Laboratories Ltd.. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 37.7%, MDD -49.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 36.1%, drawdown -84.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 37.7%, MDD -49.6%, Sharpe 1.01, 52% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 34.4%p (CAGR 37.7%, MDD -49.6%, exposure 52%).
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=79, threshold=0.02 |
37.7% | -49.6% | 1.01 | 0.76 | 304.3x | 149 | 52% |
| SMA 크로스오버 fast=23, slow=106 |
35.1% | -61.0% | 0.95 | 0.58 | 217.1x | 45 | 56% |
| Donchian 채널 돌파 entryN=26, exitN=37 |
34.4% | -58.1% | 0.91 | 0.59 | 196.9x | 49 | 64% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=16, mult=1.9 |
28.8% | -49.6% | 0.87 | 0.58 | 93.0x | 63 | 44% |
| EMA 크로스오버 fast=32, slow=216 |
30.2% | -49.2% | 0.85 | 0.61 | 112.0x | 21 | 59% |
| 볼린저 밴드 돌파 n=48, k=2.9 |
23.3% | -46.9% | 0.82 | 0.50 | 42.1x | 47 | 28% |
| Supertrend period=12, mult=5 |
29.4% | -70.4% | 0.82 | 0.42 | 100.0x | 41 | 58% |
| MACD fast=13, slow=38, signal=13 |
24.8% | -63.1% | 0.78 | 0.39 | 52.9x | 231 | 51% |
| ADX / DI 방향성 period=20, threshold=7 |
26.2% | -73.9% | 0.77 | 0.35 | 63.9x | 277 | 61% |
| Parabolic SAR step=0.01, maxStep=0.3 |
21.7% | -62.4% | 0.70 | 0.35 | 33.4x | 215 | 51% |
| Buy and hold | 36.1% | -84.1% | 0.85 | 0.43 | 247.7x | 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 79-day return is greater than 2%
- Sell — Sell when the 79-day return drops to 2% or below