Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Suzlon Energy Ltd backtest
10 trend-following strategies were compared on the full daily history of Suzlon Energy Ltd. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 7.2%, MDD -36.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.6%, drawdown -99.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 23.7%, MDD -53.5%, Sharpe 0.81, 29% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 28.3%p higher than buy and hold, while drawdown improves by 46.1%p (CAGR 7.2%, MDD -36.1%, exposure 4%).
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=34, k=2.1 |
23.7% | -53.5% | 0.81 | 0.44 | 83.6x | 96 | 29% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=10, mult=1.4 |
21.8% | -69.8% | 0.77 | 0.31 | 60.4x | 178 | 26% |
| Supertrend period=26, mult=3.2 |
22.0% | -73.2% | 0.72 | 0.30 | 62.7x | 114 | 42% |
| Donchian 채널 돌파 entryN=40, exitN=19 |
19.9% | -66.4% | 0.69 | 0.30 | 43.5x | 64 | 34% |
| ADX / DI 방향성 period=31, threshold=31 |
7.2% | -36.1% | 0.67 | 0.20 | 4.2x | 10 | 4% |
| MACD fast=23, slow=58, signal=17 |
20.2% | -82.9% | 0.65 | 0.24 | 46.0x | 186 | 52% |
| EMA 크로스오버 fast=7, slow=26 |
18.4% | -75.6% | 0.63 | 0.24 | 33.2x | 186 | 45% |
| ROC 모멘텀 n=42, threshold=0.05 |
17.5% | -64.2% | 0.62 | 0.27 | 28.7x | 224 | 38% |
| Parabolic SAR step=0.005, maxStep=0.34 |
17.0% | -92.1% | 0.60 | 0.18 | 26.1x | 156 | 45% |
| SMA 크로스오버 fast=15, slow=64 |
14.3% | -85.1% | 0.54 | 0.17 | 16.2x | 76 | 43% |
| Buy and hold | -4.6% | -99.6% | 0.22 | -0.05 | 0.4x | 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 34-day average (2.1× volatility)
- Sell — Sell when the close falls back to the 34-day middle average