Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Welspun Living Limited backtest
10 trend-following strategies were compared on the full daily history of Welspun Living Limited. 8 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 21.7%, MDD -49.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR 13.8%, drawdown -90.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 21.7%, MDD -49.0%, Sharpe 0.81, 42% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 7.9%p higher than buy and hold, while drawdown improves by 41.7%p (CAGR 21.7%, MDD -49.0%, exposure 42%).
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=99, exitN=39 |
21.7% | -49.0% | 0.81 | 0.44 | 86.4x | 27 | 42% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=22, mult=3.2 |
20.1% | -51.0% | 0.79 | 0.39 | 64.6x | 47 | 33% |
| SMA 크로스오버 fast=29, slow=134 |
20.8% | -72.9% | 0.72 | 0.29 | 73.3x | 45 | 52% |
| 볼린저 밴드 돌파 n=71, k=1.8 |
18.4% | -61.2% | 0.71 | 0.30 | 46.4x | 67 | 37% |
| ADX / DI 방향성 period=31, threshold=19 |
15.1% | -51.3% | 0.71 | 0.29 | 24.5x | 81 | 23% |
| EMA 크로스오버 fast=24, slow=148 |
19.4% | -69.2% | 0.71 | 0.28 | 55.9x | 45 | 48% |
| ROC 모멘텀 n=106, threshold=0.08 |
18.7% | -60.4% | 0.71 | 0.31 | 48.9x | 165 | 44% |
| Supertrend period=14, mult=3.5 |
18.2% | -61.0% | 0.66 | 0.30 | 44.8x | 87 | 52% |
| MACD fast=24, slow=28, signal=15 |
13.4% | -60.1% | 0.53 | 0.22 | 17.3x | 263 | 51% |
| Parabolic SAR step=0.005, maxStep=0.28 |
11.1% | -62.5% | 0.48 | 0.18 | 10.9x | 177 | 53% |
| Buy and hold | 13.8% | -90.7% | 0.51 | 0.15 | 18.8x | 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 99 days
- Sell — Sell when price breaks below the lowest low of the last 39 days