Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Syngene International Ltd. backtest
10 trend-following strategies were compared on the full daily history of Syngene International Ltd.. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 8.3%, MDD -22.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.6%, drawdown -59.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 8.3%, MDD -22.8%, Sharpe 0.61, 20% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 8.7%, MDD -26.4%, exposure 26%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 36.4%p (CAGR 8.3%, MDD -22.8%, exposure 20%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=22, threshold=23 |
8.3% | -22.8% | 0.61 | 0.36 | 2.4x | 34 | 20% |
| ROC 모멘텀 n=82, threshold=0.1 |
8.7% | -26.4% | 0.58 | 0.33 | 2.5x | 70 | 26% |
| SMA 크로스오버 fast=54, slow=186 |
7.9% | -29.6% | 0.47 | 0.27 | 2.3x | 18 | 52% |
| EMA 크로스오버 fast=35, slow=209 |
4.1% | -43.7% | 0.29 | 0.09 | 1.6x | 22 | 61% |
| Supertrend period=13, mult=3.3 |
3.4% | -49.4% | 0.27 | 0.07 | 1.4x | 52 | 52% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=26, mult=3.1 |
2.1% | -31.6% | 0.21 | 0.07 | 1.3x | 26 | 23% |
| Donchian 채널 돌파 entryN=96, exitN=51 |
1.1% | -48.9% | 0.16 | 0.02 | 1.1x | 18 | 45% |
| 볼린저 밴드 돌파 n=28, k=3 |
0.7% | -25.6% | 0.12 | 0.03 | 1.1x | 28 | 15% |
| MACD fast=29, slow=55, signal=24 |
-0.5% | -47.0% | 0.08 | -0.01 | 0.9x | 82 | 50% |
| Parabolic SAR step=0.02, maxStep=0.24 |
-6.2% | -57.2% | -0.19 | -0.11 | 0.5x | 224 | 52% |
| Buy and hold | 8.6% | -59.3% | 0.43 | 0.15 | 2.5x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 22-day) is ≥ 23
- Sell — Sell when direction flips or the trend weakens (ADX < 23)