Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Zydus Wellness Limited backtest
10 trend-following strategies were compared on the full daily history of Zydus Wellness Limited. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 20.1%, MDD -32.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 17.3%, drawdown -55.1%).
Sharpe leader (same as main): Supertrend — CAGR 20.1%, MDD -32.1%, Sharpe 0.83, 64% exposure.
Return/drawdown alternative: Supertrend — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 23.0%p (CAGR 20.1%, MDD -32.1%, exposure 64%).
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=10, mult=4 |
20.1% | -32.1% | 0.83 | 0.63 | 21.3x | 31 | 64% |
| Donchian 채널 돌파 entryN=11, exitN=78 |
16.4% | -58.1% | 0.67 | 0.28 | 12.6x | 33 | 87% |
| SMA 크로스오버 fast=12, slow=52 |
12.4% | -35.5% | 0.60 | 0.35 | 7.0x | 79 | 57% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=17, mult=1.6 |
11.2% | -34.1% | 0.59 | 0.33 | 5.9x | 59 | 44% |
| EMA 크로스오버 fast=9, slow=43 |
12.0% | -45.8% | 0.58 | 0.26 | 6.7x | 105 | 59% |
| ADX / DI 방향성 period=31, threshold=28 |
7.5% | -26.9% | 0.53 | 0.28 | 3.3x | 27 | 19% |
| 볼린저 밴드 돌파 n=66, k=2.3 |
8.8% | -30.2% | 0.51 | 0.29 | 4.1x | 49 | 42% |
| Parabolic SAR step=0.01, maxStep=0.22 |
9.3% | -46.0% | 0.49 | 0.20 | 4.4x | 192 | 53% |
| ROC 모멘텀 n=90, threshold=-0.04 |
7.8% | -51.8% | 0.42 | 0.15 | 3.5x | 137 | 69% |
| MACD fast=17, slow=59, signal=16 |
5.3% | -42.1% | 0.34 | 0.13 | 2.4x | 172 | 49% |
| Buy and hold | 17.3% | -55.1% | 0.67 | 0.31 | 14.3x | 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) — 10-day volatility, 4× band
- Sell — Sell when price drops below the trend line (flips down)