Trend-Following Backtester · Guide · backtest 한국어
equity · IN
PVR Inox Limited backtest
10 trend-following strategies were compared on the full daily history of PVR Inox Limited. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.1%, MDD -37.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR 6.8%, drawdown -83.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.9%, MDD -58.9%, Sharpe 0.51, 79% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.0%p higher than buy and hold, while drawdown improves by 24.3%p (CAGR 7.1%, MDD -37.5%, exposure 22%).
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=12, exitN=49 |
11.9% | -58.9% | 0.51 | 0.20 | 10.0x | 61 | 79% |
| Supertrend period=8, mult=2.7 |
10.6% | -45.3% | 0.50 | 0.23 | 8.0x | 115 | 55% |
| MACD fast=23, slow=46, signal=19 |
10.6% | -56.7% | 0.50 | 0.19 | 7.9x | 181 | 52% |
| 볼린저 밴드 돌파 n=28, k=2.5 |
7.1% | -37.5% | 0.45 | 0.19 | 4.1x | 89 | 22% |
| SMA 크로스오버 fast=13, slow=52 |
8.0% | -59.2% | 0.42 | 0.13 | 4.8x | 123 | 52% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=19, mult=1.7 |
4.9% | -42.1% | 0.34 | 0.12 | 2.7x | 123 | 25% |
| ADX / DI 방향성 period=23, threshold=41 |
2.2% | -15.0% | 0.33 | 0.15 | 1.6x | 6 | 3% |
| ROC 모멘텀 n=67, threshold=-0.03 |
5.2% | -55.4% | 0.32 | 0.09 | 2.8x | 207 | 62% |
| EMA 크로스오버 fast=18, slow=71 |
5.0% | -65.2% | 0.31 | 0.08 | 2.7x | 87 | 56% |
| Parabolic SAR step=0.01, maxStep=0.36 |
4.4% | -54.1% | 0.30 | 0.08 | 2.4x | 279 | 52% |
| Buy and hold | 6.8% | -83.2% | 0.37 | 0.08 | 3.9x | 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 12 days
- Sell — Sell when price breaks below the lowest low of the last 49 days