Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Voltamp Transformers Limited backtest
10 trend-following strategies were compared on the full daily history of Voltamp Transformers Limited. 1 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 17.9%, MDD -55.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 17.3%, drawdown -85.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 17.9%, MDD -55.9%, Sharpe 0.64, 70% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 29.9%p (CAGR 17.9%, MDD -55.9%, exposure 70%).
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=48, exitN=81 |
17.9% | -55.9% | 0.64 | 0.32 | 26.1x | 25 | 70% |
| Supertrend period=21, mult=4.8 |
16.3% | -62.9% | 0.62 | 0.26 | 20.2x | 50 | 56% |
| ROC 모멘텀 n=125, threshold=-0.03 |
16.4% | -61.3% | 0.61 | 0.27 | 20.3x | 155 | 65% |
| SMA 크로스오버 fast=58, slow=131 |
15.6% | -56.7% | 0.60 | 0.28 | 17.9x | 41 | 59% |
| EMA 크로스오버 fast=44, slow=86 |
14.8% | -69.4% | 0.58 | 0.21 | 15.4x | 39 | 60% |
| MACD fast=25, slow=34, signal=8 |
10.5% | -66.3% | 0.48 | 0.16 | 7.3x | 262 | 49% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=12, mult=1.8 |
9.6% | -77.1% | 0.46 | 0.12 | 6.2x | 94 | 38% |
| ADX / DI 방향성 period=15, threshold=9 |
9.4% | -74.1% | 0.43 | 0.13 | 5.9x | 324 | 63% |
| 볼린저 밴드 돌파 n=56, k=1.7 |
7.2% | -82.5% | 0.39 | 0.09 | 4.0x | 96 | 39% |
| Parabolic SAR step=0.02, maxStep=0.12 |
4.3% | -73.2% | 0.29 | 0.06 | 2.3x | 362 | 50% |
| Buy and hold | 17.3% | -85.8% | 0.59 | 0.20 | 23.7x | 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 48 days
- Sell — Sell when price breaks below the lowest low of the last 81 days