Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Ratnamani Metals & Tubes Ltd. backtest
10 trend-following strategies were compared on the full daily history of Ratnamani Metals & Tubes Ltd.. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 27.4%, MDD -37.9%).
Results by strategy
5 of 10 beat buy and hold (CAGR 20.0%, drawdown -88.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 27.4%, MDD -37.9%, Sharpe 0.95, 72% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 7.4%p higher than buy and hold, while drawdown improves by 50.6%p (CAGR 27.4%, MDD -37.9%, exposure 72%).
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=33, exitN=47 |
27.4% | -37.9% | 0.95 | 0.72 | 134.4x | 34 | 72% |
| SMA 크로스오버 fast=25, slow=74 |
24.7% | -40.1% | 0.89 | 0.62 | 87.5x | 56 | 65% |
| EMA 크로스오버 fast=32, slow=54 |
24.5% | -51.1% | 0.89 | 0.48 | 84.2x | 54 | 66% |
| Supertrend period=24, mult=4.6 |
23.8% | -41.0% | 0.86 | 0.58 | 74.6x | 36 | 65% |
| ADX / DI 방향성 period=36, threshold=11 |
24.0% | -45.4% | 0.85 | 0.53 | 77.6x | 148 | 68% |
| 볼린저 밴드 돌파 n=54, k=1.2 |
17.2% | -44.8% | 0.73 | 0.38 | 24.9x | 118 | 53% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=8, mult=1.2 |
16.3% | -46.7% | 0.70 | 0.35 | 21.1x | 122 | 50% |
| ROC 모멘텀 n=108, threshold=0.13 |
14.9% | -49.7% | 0.66 | 0.30 | 16.6x | 170 | 43% |
| Parabolic SAR step=0.015, maxStep=0.28 |
8.5% | -47.5% | 0.43 | 0.18 | 5.2x | 340 | 52% |
| MACD fast=9, slow=22, signal=13 |
6.0% | -60.1% | 0.35 | 0.10 | 3.3x | 374 | 48% |
| Buy and hold | 20.0% | -88.4% | 0.66 | 0.23 | 40.0x | 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 33 days
- Sell — Sell when price breaks below the lowest low of the last 47 days