Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Sumitomo Chemical India Ltd. backtest
10 trend-following strategies were compared on the full daily history of Sumitomo Chemical India Ltd.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 15.4%, drawdown -44.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.1%, MDD -37.2%, Sharpe 0.54, 69% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=21, exitN=43 |
12.1% | -37.2% | 0.54 | 0.33 | 2.1x | 19 | 69% |
| ADX / DI 방향성 period=19, threshold=25 |
5.4% | -21.9% | 0.41 | 0.25 | 1.4x | 14 | 13% |
| EMA 크로스오버 fast=44, slow=182 |
6.9% | -28.5% | 0.39 | 0.24 | 1.6x | 7 | 58% |
| ROC 모멘텀 n=63, threshold=-0.07 |
6.4% | -35.7% | 0.36 | 0.18 | 1.5x | 71 | 74% |
| SMA 크로스오버 fast=46, slow=116 |
5.9% | -32.5% | 0.35 | 0.18 | 1.5x | 15 | 54% |
| Supertrend period=21, mult=4.1 |
4.6% | -31.4% | 0.30 | 0.15 | 1.3x | 19 | 57% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=18, mult=1.7 |
1.2% | -37.6% | 0.16 | 0.03 | 1.1x | 33 | 37% |
| 볼린저 밴드 돌파 n=31, k=3.2 |
0.1% | -18.0% | 0.07 | 0.01 | 1.0x | 10 | 9% |
| MACD fast=24, slow=36, signal=17 |
-1.8% | -54.2% | 0.04 | -0.03 | 0.9x | 78 | 46% |
| Parabolic SAR step=0.02, maxStep=0.2 |
-7.7% | -69.1% | -0.18 | -0.11 | 0.6x | 150 | 49% |
| Buy and hold | 15.4% | -44.1% | 0.58 | 0.35 | 2.6x | 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 21 days
- Sell — Sell when price breaks below the lowest low of the last 43 days