Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Adani Total Gas Ltd. backtest
10 trend-following strategies were compared on the full daily history of Adani Total Gas Ltd.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 42.7%, MDD -34.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR 32.0%, drawdown -88.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 51.4%, MDD -50.7%, Sharpe 1.30, 46% exposure.
CAGR reference leader: Supertrend — CAGR 51.5%, MDD -42.6%, exposure 43%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 19.4%p higher than buy and hold, while drawdown improves by 37.4%p (CAGR 42.7%, MDD -34.9%, exposure 28%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=8, mult=1.2 |
51.4% | -50.7% | 1.30 | 1.02 | 24.8x | 48 | 46% |
| Supertrend period=25, mult=2.9 |
51.5% | -42.6% | 1.28 | 1.21 | 24.9x | 40 | 43% |
| ADX / DI 방향성 period=44, threshold=19 |
42.7% | -34.9% | 1.27 | 1.22 | 15.6x | 13 | 28% |
| ROC 모멘텀 n=38, threshold=0.04 |
50.1% | -54.3% | 1.26 | 0.92 | 23.2x | 94 | 46% |
| Donchian 채널 돌파 entryN=32, exitN=8 |
44.7% | -48.7% | 1.24 | 0.92 | 17.4x | 40 | 32% |
| 볼린저 밴드 돌파 n=44, k=1.2 |
46.7% | -47.6% | 1.20 | 0.98 | 19.4x | 48 | 44% |
| SMA 크로스오버 fast=4, slow=29 |
47.0% | -64.8% | 1.17 | 0.73 | 19.7x | 88 | 51% |
| MACD fast=12, slow=49, signal=15 |
45.2% | -60.2% | 1.15 | 0.75 | 17.9x | 78 | 45% |
| Parabolic SAR step=0.01, maxStep=0.32 |
42.0% | -71.6% | 1.05 | 0.59 | 15.1x | 90 | 50% |
| EMA 크로스오버 fast=20, slow=47 |
38.5% | -58.1% | 1.00 | 0.66 | 12.4x | 24 | 56% |
| Buy and hold | 32.0% | -88.1% | 0.79 | 0.36 | 8.6x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 41-day average + 1.2× volatility (Keltner top)
- Sell — Sell when the close falls back to the 41-day average