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 36.4%, MDD -49.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 34.9%, drawdown -84.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 36.4%, MDD -49.6%, Sharpe 0.99, 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 36.4%, 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 |
36.4% | -49.6% | 0.99 | 0.73 | 251.8x | 149 | 52% |
| SMA 크로스오버 fast=23, slow=106 |
33.9% | -61.0% | 0.93 | 0.56 | 179.7x | 45 | 56% |
| Donchian 채널 돌파 entryN=26, exitN=37 |
33.1% | -58.1% | 0.88 | 0.57 | 162.9x | 49 | 64% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=16, mult=1.9 |
27.6% | -49.6% | 0.84 | 0.56 | 76.9x | 63 | 44% |
| EMA 크로스오버 fast=32, slow=216 |
29.0% | -49.2% | 0.83 | 0.59 | 92.7x | 21 | 59% |
| Supertrend period=12, mult=5 |
28.2% | -70.4% | 0.80 | 0.40 | 82.7x | 41 | 58% |
| 볼린저 밴드 돌파 n=48, k=2.9 |
22.1% | -46.9% | 0.79 | 0.47 | 34.9x | 47 | 27% |
| MACD fast=13, slow=38, signal=13 |
24.0% | -63.1% | 0.76 | 0.38 | 46.1x | 230 | 51% |
| ADX / DI 방향성 period=20, threshold=7 |
25.0% | -73.9% | 0.75 | 0.34 | 52.9x | 277 | 61% |
| Parabolic SAR step=0.01, maxStep=0.3 |
20.8% | -62.4% | 0.68 | 0.33 | 28.7x | 214 | 51% |
| Buy and hold | 34.9% | -84.1% | 0.83 | 0.41 | 205.0x | 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