Trend-Following Backtester · Guide · backtest 한국어
equity · US
MakeMyTrip Limited backtest
10 trend-following strategies were compared on the full daily history of MakeMyTrip Limited. 5 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 5.2%, MDD -19.8%).
Results by strategy
5 of 10 beat buy and hold (CAGR 4.9%, drawdown -73.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.2%, MDD -19.8%, Sharpe 0.51, 4% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 12.6%, MDD -63.2%, exposure 43%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 53.6%p (CAGR 5.2%, MDD -19.8%, exposure 4%).
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=62, threshold=23 |
5.2% | -19.8% | 0.51 | 0.26 | 2.3x | 4 | 4% |
| SMA 크로스오버 fast=59, slow=155 |
12.6% | -63.2% | 0.51 | 0.20 | 6.7x | 22 | 43% |
| ROC 모멘텀 n=137, threshold=0.12 |
9.5% | -57.8% | 0.44 | 0.16 | 4.2x | 96 | 34% |
| Donchian 채널 돌파 entryN=61, exitN=57 |
7.7% | -58.0% | 0.38 | 0.13 | 3.3x | 25 | 46% |
| EMA 크로스오버 fast=50, slow=175 |
6.2% | -53.0% | 0.34 | 0.12 | 2.6x | 24 | 44% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=15, mult=3.8 |
2.3% | -46.5% | 0.23 | 0.05 | 1.4x | 18 | 8% |
| Supertrend period=15, mult=4 |
-0.8% | -67.0% | 0.16 | -0.01 | 0.9x | 65 | 49% |
| 볼린저 밴드 돌파 n=58, k=2.9 |
-1.0% | -70.5% | 0.05 | -0.01 | 0.8x | 29 | 17% |
| MACD fast=14, slow=30, signal=15 |
-5.8% | -81.0% | 0.01 | -0.07 | 0.4x | 240 | 50% |
| Parabolic SAR step=0.03, maxStep=0.16 |
-10.6% | -90.8% | -0.12 | -0.12 | 0.2x | 423 | 50% |
| Buy and hold | 4.9% | -73.4% | 0.35 | 0.07 | 2.1x | 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, 62-day) is ≥ 23
- Sell — Sell when direction flips or the trend weakens (ADX < 23)