Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Rain Industries Limited backtest
10 trend-following strategies were compared on the full daily history of Rain Industries Limited. 1 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 19.4%, drawdown -89.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.1%, MDD -36.6%, Sharpe 0.57, 6% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 22.2%, MDD -73.0%, exposure 80%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=17, k=3.2 |
8.1% | -36.6% | 0.57 | 0.22 | 6.5x | 32 | 6% |
| EMA 크로스오버 fast=4, slow=23 |
10.2% | -70.4% | 0.46 | 0.14 | 10.3x | 262 | 39% |
| Supertrend period=28, mult=1.8 |
9.8% | -61.9% | 0.46 | 0.16 | 9.5x | 224 | 37% |
| ROC 모멘텀 n=99, threshold=0.14 |
8.0% | -78.3% | 0.42 | 0.10 | 6.4x | 135 | 27% |
| ADX / DI 방향성 period=33, threshold=16 |
7.6% | -62.3% | 0.40 | 0.12 | 5.8x | 99 | 28% |
| Parabolic SAR step=0.005, maxStep=0.14 |
7.7% | -62.8% | 0.39 | 0.12 | 6.0x | 140 | 41% |
| SMA 크로스오버 fast=20, slow=122 |
7.5% | -77.3% | 0.39 | 0.10 | 5.7x | 57 | 41% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=9, mult=1.6 |
5.8% | -62.6% | 0.34 | 0.09 | 3.9x | 116 | 27% |
| MACD fast=16, slow=32, signal=16 |
5.1% | -82.7% | 0.31 | 0.06 | 3.3x | 236 | 53% |
| Donchian 채널 돌파 entryN=11, exitN=42 |
22.2% | -73.0% | 0.23 | 0.30 | 123.9x | 73 | 80% |
| Buy and hold | 19.4% | -89.8% | 0.23 | 0.22 | 71.7x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 17-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 17-day middle average