Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Welspun Corp Limited backtest
10 trend-following strategies were compared on the full daily history of Welspun Corp Limited. 4 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 21.7%, MDD -70.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR 21.6%, drawdown -94.7%).
Sharpe leader (same as main): Supertrend — CAGR 30.2%, MDD -73.2%, Sharpe 0.80, 60% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 8.6%p higher than buy and hold, while drawdown improves by 21.4%p (CAGR 21.7%, MDD -70.8%, exposure 58%).
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=13, mult=4.8 |
30.2% | -73.2% | 0.80 | 0.41 | 987.7x | 69 | 60% |
| SMA 크로스오버 fast=41, slow=90 |
23.0% | -79.4% | 0.72 | 0.29 | 222.2x | 65 | 55% |
| Donchian 채널 돌파 entryN=39, exitN=32 |
21.8% | -78.8% | 0.69 | 0.28 | 171.5x | 77 | 54% |
| EMA 크로스오버 fast=32, slow=34 |
21.7% | -70.8% | 0.67 | 0.31 | 167.1x | 97 | 58% |
| ADX / DI 방향성 period=37, threshold=12 |
19.2% | -73.2% | 0.65 | 0.26 | 97.9x | 167 | 45% |
| ROC 모멘텀 n=147, threshold=0.05 |
18.3% | -71.2% | 0.63 | 0.26 | 81.1x | 169 | 53% |
| 볼린저 밴드 돌파 n=49, k=2 |
15.3% | -80.8% | 0.58 | 0.19 | 41.5x | 105 | 38% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=28, mult=2.1 |
12.4% | -83.5% | 0.51 | 0.15 | 21.1x | 125 | 38% |
| Parabolic SAR step=0.015, maxStep=0.3 |
12.2% | -81.5% | 0.48 | 0.15 | 20.3x | 405 | 51% |
| MACD fast=10, slow=47, signal=7 |
9.9% | -68.4% | 0.44 | 0.14 | 11.6x | 508 | 49% |
| Buy and hold | 21.6% | -94.7% | 0.63 | 0.23 | 164.4x | 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) — 13-day volatility, 4.8× band
- Sell — Sell when price drops below the trend line (flips down)