Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Radico Khaitan Limited backtest
10 trend-following strategies were compared on the full daily history of Radico Khaitan Limited. 2 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 23.5%, MDD -39.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 22.9%, drawdown -92.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 23.5%, MDD -39.2%, Sharpe 0.89, 48% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 24.1%, MDD -85.5%, exposure 79%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 53.4%p (CAGR 23.5%, MDD -39.2%, exposure 48%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=33, threshold=15 |
23.5% | -39.2% | 0.89 | 0.60 | 133.8x | 105 | 48% |
| Donchian 채널 돌파 entryN=20, exitN=85 |
24.1% | -85.5% | 0.80 | 0.28 | 149.9x | 33 | 79% |
| SMA 크로스오버 fast=55, slow=89 |
22.2% | -47.1% | 0.77 | 0.47 | 105.6x | 69 | 62% |
| Supertrend period=5, mult=4.4 |
20.7% | -86.7% | 0.75 | 0.24 | 79.3x | 49 | 68% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=22, mult=2.5 |
14.8% | -51.1% | 0.73 | 0.29 | 24.6x | 77 | 26% |
| 볼린저 밴드 돌파 n=39, k=3 |
14.6% | -51.2% | 0.72 | 0.29 | 23.7x | 71 | 27% |
| EMA 크로스오버 fast=19, slow=117 |
18.4% | -86.4% | 0.71 | 0.21 | 50.1x | 45 | 61% |
| ROC 모멘텀 n=33, threshold=-0.01 |
13.8% | -89.5% | 0.60 | 0.15 | 19.9x | 385 | 60% |
| MACD fast=17, slow=73, signal=21 |
11.6% | -87.8% | 0.55 | 0.13 | 12.7x | 214 | 54% |
| Parabolic SAR step=0.005, maxStep=0.34 |
6.1% | -88.3% | 0.41 | 0.07 | 4.0x | 179 | 54% |
| Buy and hold | 22.9% | -92.6% | 0.74 | 0.25 | 120.3x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 33-day) is ≥ 15
- Sell — Sell when direction flips or the trend weakens (ADX < 15)