Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Shilpa Medicare Limited backtest
10 trend-following strategies were compared on the full daily history of Shilpa Medicare Limited. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 15.4%, MDD -53.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 19.2%, drawdown -72.9%).
Sharpe leader (same as main): Supertrend — CAGR 24.1%, MDD -61.2%, Sharpe 0.80, 63% exposure.
Return/drawdown alternative: MACD — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 11.8%p (CAGR 15.4%, MDD -53.3%, 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=22, mult=4.9 |
24.1% | -61.2% | 0.80 | 0.39 | 36.5x | 31 | 63% |
| ROC 모멘텀 n=79, threshold=0.12 |
16.0% | -57.9% | 0.69 | 0.28 | 11.9x | 141 | 37% |
| SMA 크로스오버 fast=53, slow=104 |
15.3% | -53.6% | 0.63 | 0.29 | 10.7x | 41 | 52% |
| MACD fast=9, slow=26, signal=19 |
15.4% | -53.3% | 0.61 | 0.29 | 10.9x | 228 | 48% |
| EMA 크로스오버 fast=58, slow=60 |
14.7% | -67.4% | 0.60 | 0.22 | 9.8x | 37 | 54% |
| Donchian 채널 돌파 entryN=55, exitN=62 |
14.4% | -68.7% | 0.59 | 0.21 | 9.4x | 25 | 54% |
| Parabolic SAR step=0.01, maxStep=0.14 |
13.9% | -72.7% | 0.57 | 0.19 | 8.8x | 202 | 51% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=17, mult=1.4 |
12.4% | -67.3% | 0.56 | 0.18 | 7.0x | 85 | 41% |
| ADX / DI 방향성 period=29, threshold=22 |
9.9% | -52.5% | 0.54 | 0.19 | 4.8x | 51 | 27% |
| 볼린저 밴드 돌파 n=31, k=3.2 |
8.4% | -44.8% | 0.52 | 0.19 | 3.9x | 47 | 19% |
| Buy and hold | 19.2% | -72.9% | 0.62 | 0.26 | 18.8x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 22-day volatility, 4.9× band
- Sell — Sell when price drops below the trend line (flips down)