Trend-Following Backtester · Guide · backtest 한국어

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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 23.4%, MDD -39.2%).

Data 2003-06-18 ~ 2026-07-31daily bars 5,731 (23.1 years)Costs 0.5%Venue NSEMonthly snapshot 2026-07-31

Results by strategy

2 of 10 beat buy and hold (CAGR 22.8%, drawdown -92.6%).

Sharpe leader (same as main): ADX / DI 방향성 — CAGR 23.4%, MDD -39.2%, Sharpe 0.89, 48% exposure.

CAGR reference leader: Donchian 채널 돌파 — CAGR 24.0%, MDD -85.5%, exposure 78%.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 53.4%p (CAGR 23.4%, 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ADX / DI 방향성
period=33, threshold=15
23.4%-39.2%0.890.60129.5x10548%
Donchian 채널 돌파
entryN=20, exitN=85
24.0%-85.5%0.800.28145.1x3378%
SMA 크로스오버
fast=55, slow=89
22.2%-47.1%0.770.47102.2x6962%
Supertrend
period=5, mult=4.4
20.7%-86.7%0.750.2476.7x4968%
Keltner 채널 돌파
emaPeriod=30, atrPeriod=22, mult=2.5
14.7%-51.1%0.730.2923.8x7725%
볼린저 밴드 돌파
n=39, k=3
14.5%-51.2%0.720.2822.9x7126%
EMA 크로스오버
fast=19, slow=117
18.3%-86.4%0.710.2148.4x4561%
ROC 모멘텀
n=33, threshold=-0.01
13.6%-89.5%0.600.1519.3x38560%
MACD
fast=17, slow=73, signal=21
11.4%-87.8%0.550.1312.0x21354%
Parabolic SAR
step=0.005, maxStep=0.34
6.0%-88.3%0.400.073.9x17954%
Buy and hold22.8%-92.6%0.740.25116.4x1100%
1x 10x 100x 2004 2007 2010 2013 2016 2019 2022 2025 Donchian 채널 돌파ADX / DI 방향성Buy and hold
ADX / DI 방향성 (Sharpe leader), Donchian 채널 돌파 (CAGR reference), Buy and hold.
0% -23% -46% -69% -93% 2004 2007 2010 2013 2016 2019 2022 2025 Buy and holdDonchian 채널 돌파ADX / DI 방향성
ADX / DI 방향성 maximum drawdown -39.2% (2013-10-22 → 2016-08-11), recovered after 1,455 days.

Rules of the top strategy

Looks at both the direction and the strength of the trend; holds only in a strong uptrend.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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