Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Angel One Limited backtest
10 trend-following strategies were compared on the full daily history of Angel One Limited. 1 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 55.2%, MDD -37.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 48.6%, drawdown -48.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 55.2%, MDD -37.4%, Sharpe 1.23, 71% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.6%p higher than buy and hold, while drawdown improves by 11.3%p (CAGR 55.2%, MDD -37.4%, exposure 71%).
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=15, exitN=28 |
55.2% | -37.4% | 1.23 | 1.48 | 13.4x | 20 | 71% |
| SMA 크로스오버 fast=8, slow=66 |
45.1% | -41.0% | 1.15 | 1.10 | 9.0x | 30 | 55% |
| Supertrend period=16, mult=2.8 |
44.3% | -48.9% | 1.14 | 0.91 | 8.7x | 42 | 51% |
| ROC 모멘텀 n=40, threshold=0 |
41.8% | -38.9% | 1.08 | 1.07 | 7.8x | 82 | 56% |
| 볼린저 밴드 돌파 n=16, k=1.6 |
36.1% | -37.1% | 1.08 | 0.97 | 6.2x | 77 | 37% |
| EMA 크로스오버 fast=15, slow=57 |
39.0% | -40.5% | 1.03 | 0.96 | 7.0x | 22 | 58% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=15, mult=1.3 |
31.8% | -43.5% | 0.99 | 0.73 | 5.1x | 60 | 38% |
| MACD fast=18, slow=45, signal=17 |
32.8% | -36.3% | 0.96 | 0.90 | 5.3x | 50 | 45% |
| ADX / DI 방향성 period=18, threshold=34 |
19.4% | -22.7% | 0.96 | 0.85 | 2.8x | 14 | 13% |
| Parabolic SAR step=0.01, maxStep=0.16 |
32.0% | -55.0% | 0.92 | 0.58 | 5.1x | 75 | 48% |
| Buy and hold | 48.6% | -48.7% | 1.03 | 1.00 | 10.3x | 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 15 days
- Sell — Sell when price breaks below the lowest low of the last 28 days