Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Page Industries Limited backtest
10 trend-following strategies were compared on the full daily history of Page Industries Limited. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 26.3%, MDD -37.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 28.5%, drawdown -54.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 25.6%, MDD -43.8%, Sharpe 1.03, 68% exposure.
CAGR reference leader: Supertrend — CAGR 26.3%, MDD -37.8%, exposure 68%.
Return/drawdown alternative: Supertrend — CAGR is 2.9%p lower than buy and hold, while drawdown improves by 10.4%p (CAGR 26.3%, MDD -37.8%, exposure 68%).
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=90, exitN=96 |
25.6% | -43.8% | 1.03 | 0.58 | 83.8x | 11 | 68% |
| Supertrend period=14, mult=4.5 |
26.3% | -37.8% | 1.00 | 0.69 | 93.4x | 36 | 68% |
| EMA 크로스오버 fast=51, slow=82 |
25.8% | -39.7% | 0.98 | 0.65 | 86.9x | 25 | 71% |
| SMA 크로스오버 fast=28, slow=121 |
22.9% | -34.7% | 0.92 | 0.66 | 55.7x | 33 | 69% |
| ROC 모멘텀 n=118, threshold=-0.02 |
19.5% | -45.4% | 0.79 | 0.43 | 31.8x | 103 | 72% |
| ADX / DI 방향성 period=37, threshold=19 |
13.1% | -21.5% | 0.77 | 0.61 | 10.9x | 64 | 30% |
| Keltner 채널 돌파 emaPeriod=70, atrPeriod=8, mult=0.5 |
16.7% | -43.3% | 0.73 | 0.39 | 20.2x | 160 | 64% |
| 볼린저 밴드 돌파 n=45, k=1.2 |
10.2% | -36.2% | 0.53 | 0.28 | 6.6x | 154 | 51% |
| Parabolic SAR step=0.015, maxStep=0.22 |
6.8% | -59.8% | 0.39 | 0.11 | 3.6x | 322 | 54% |
| MACD fast=15, slow=34, signal=17 |
-1.0% | -60.4% | 0.07 | -0.02 | 0.8x | 284 | 48% |
| Buy and hold | 28.5% | -54.2% | 0.91 | 0.53 | 131.0x | 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 90 days
- Sell — Sell when price breaks below the lowest low of the last 96 days