Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Polycab India Ltd. backtest
10 trend-following strategies were compared on the full daily history of Polycab India Ltd.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 40.8%, MDD -32.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 43.4%, drawdown -50.2%).
Sharpe leader (same as main): Supertrend — CAGR 36.3%, MDD -31.2%, Sharpe 1.38, 65% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 40.8%, MDD -32.2%, exposure 86%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 7.0%p lower than buy and hold, while drawdown improves by 18.9%p (CAGR 40.8%, MDD -32.2%, exposure 86%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=21, mult=2.6 |
36.3% | -31.2% | 1.38 | 1.16 | 9.6x | 52 | 65% |
| Donchian 채널 돌파 entryN=16, exitN=70 |
40.8% | -32.2% | 1.30 | 1.27 | 12.1x | 13 | 86% |
| MACD fast=18, slow=59, signal=21 |
30.0% | -32.1% | 1.28 | 0.93 | 6.8x | 58 | 51% |
| ROC 모멘텀 n=64, threshold=0.02 |
32.2% | -29.5% | 1.25 | 1.09 | 7.7x | 81 | 67% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=22, mult=3.8 |
23.0% | -21.4% | 1.23 | 1.08 | 4.5x | 18 | 35% |
| ADX / DI 방향성 period=16, threshold=11 |
29.8% | -30.3% | 1.20 | 0.98 | 6.7x | 110 | 62% |
| SMA 크로스오버 fast=7, slow=29 |
29.8% | -33.4% | 1.18 | 0.89 | 6.7x | 64 | 67% |
| 볼린저 밴드 돌파 n=35, k=1.2 |
27.5% | -23.6% | 1.16 | 1.17 | 5.9x | 64 | 56% |
| EMA 크로스오버 fast=45, slow=116 |
32.4% | -50.2% | 1.06 | 0.65 | 7.8x | 9 | 78% |
| Parabolic SAR step=0.045, maxStep=0.14 |
15.2% | -43.7% | 0.69 | 0.35 | 2.8x | 207 | 59% |
| Buy and hold | 43.4% | -50.2% | 1.21 | 0.86 | 13.8x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 21-day volatility, 2.6× band
- Sell — Sell when price drops below the trend line (flips down)