Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Bajaj Finserv Limited backtest
10 trend-following strategies were compared on the full daily history of Bajaj Finserv Limited. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 21.2%, MDD -35.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR 6.4%, drawdown -99.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 26.2%, MDD -45.1%, Sharpe 1.02, 65% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 19.8%p higher than buy and hold, while drawdown improves by 54.6%p (CAGR 21.2%, MDD -35.9%, exposure 43%).
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=13, exitN=23 |
26.2% | -45.1% | 1.02 | 0.58 | 268.0x | 115 | 65% |
| Supertrend period=8, mult=4.4 |
25.1% | -47.5% | 1.01 | 0.53 | 219.3x | 67 | 61% |
| 볼린저 밴드 돌파 n=33, k=1.8 |
21.2% | -35.9% | 0.97 | 0.59 | 101.0x | 157 | 43% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=15, mult=1 |
20.8% | -42.3% | 0.96 | 0.49 | 94.6x | 245 | 44% |
| EMA 크로스오버 fast=8, slow=30 |
23.2% | -43.2% | 0.95 | 0.54 | 150.4x | 191 | 59% |
| SMA 크로스오버 fast=5, slow=43 |
23.1% | -47.7% | 0.94 | 0.48 | 149.2x | 185 | 59% |
| ROC 모멘텀 n=98, threshold=-0.01 |
19.1% | -58.3% | 0.79 | 0.33 | 66.5x | 183 | 68% |
| ADX / DI 방향성 period=21, threshold=16 |
11.6% | -46.4% | 0.62 | 0.25 | 14.1x | 247 | 43% |
| Parabolic SAR step=0.02, maxStep=0.14 |
11.8% | -52.9% | 0.57 | 0.22 | 14.5x | 496 | 55% |
| MACD fast=16, slow=22, signal=18 |
2.8% | -98.1% | 0.41 | 0.03 | 1.9x | 320 | 50% |
| Buy and hold | 6.4% | -99.7% | 0.50 | 0.06 | 4.4x | 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 13 days
- Sell — Sell when price breaks below the lowest low of the last 23 days