Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Oberoi Realty Limited backtest
10 trend-following strategies were compared on the full daily history of Oberoi Realty Limited. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 14.8%, MDD -35.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 12.6%, drawdown -53.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.8%, MDD -35.5%, Sharpe 0.59, 79% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 17.5%p (CAGR 14.8%, MDD -35.5%, exposure 79%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=15, exitN=68 |
14.8% | -35.5% | 0.59 | 0.42 | 8.9x | 27 | 79% |
| SMA 크로스오버 fast=24, slow=151 |
9.8% | -42.8% | 0.47 | 0.23 | 4.4x | 31 | 61% |
| EMA 크로스오버 fast=43, slow=105 |
8.2% | -47.8% | 0.42 | 0.17 | 3.5x | 29 | 62% |
| ROC 모멘텀 n=140, threshold=-0.03 |
6.9% | -51.5% | 0.37 | 0.14 | 2.9x | 123 | 65% |
| Supertrend period=28, mult=4 |
5.3% | -50.4% | 0.33 | 0.11 | 2.3x | 46 | 56% |
| MACD fast=19, slow=69, signal=53 |
0.9% | -55.3% | 0.16 | 0.02 | 1.2x | 106 | 50% |
| 볼린저 밴드 돌파 n=47, k=3.5 |
0.7% | -29.6% | 0.12 | 0.02 | 1.1x | 18 | 11% |
| ADX / DI 방향성 period=34, threshold=22 |
0.1% | -44.4% | 0.08 | 0.00 | 1.0x | 32 | 17% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=24, mult=4 |
-2.6% | -35.7% | -0.21 | -0.07 | 0.7x | 16 | 6% |
| Parabolic SAR step=0.05, maxStep=0.22 |
-10.5% | -90.2% | -0.29 | -0.12 | 0.2x | 556 | 50% |
| Buy and hold | 12.6% | -53.0% | 0.51 | 0.24 | 6.6x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 15 days
- Sell — Sell when price breaks below the lowest low of the last 68 days