Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Bajaj Holdings & Investment Limited. backtest
10 trend-following strategies were compared on the full daily history of Bajaj Holdings & Investment Limited.. 5 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 14.5%, MDD -30.7%).
Results by strategy
5 of 10 beat buy and hold (CAGR 14.4%, drawdown -93.5%).
Sharpe leader (same as main): Supertrend — CAGR 17.6%, MDD -52.1%, Sharpe 0.80, 61% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 19.8%, MDD -74.8%, exposure 80%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 41.4%p (CAGR 14.5%, MDD -30.7%, exposure 47%).
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=30, mult=4.8 |
17.6% | -52.1% | 0.80 | 0.34 | 49.0x | 51 | 61% |
| EMA 크로스오버 fast=49, slow=205 |
18.3% | -40.1% | 0.80 | 0.46 | 56.5x | 19 | 75% |
| SMA 크로스오버 fast=55, slow=180 |
18.1% | -51.0% | 0.79 | 0.35 | 54.1x | 31 | 68% |
| Donchian 채널 돌파 entryN=12, exitN=53 |
19.8% | -74.8% | 0.78 | 0.26 | 76.8x | 61 | 80% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=9, mult=1.6 |
14.5% | -30.7% | 0.75 | 0.47 | 25.9x | 119 | 47% |
| 볼린저 밴드 돌파 n=59, k=1.7 |
13.4% | -39.2% | 0.70 | 0.34 | 20.7x | 103 | 47% |
| ROC 모멘텀 n=127, threshold=-0.02 |
14.4% | -46.8% | 0.66 | 0.31 | 25.2x | 143 | 71% |
| ADX / DI 방향성 period=38, threshold=7 |
9.4% | -53.7% | 0.49 | 0.18 | 8.7x | 263 | 67% |
| Parabolic SAR step=0.005, maxStep=0.26 |
5.4% | -64.3% | 0.34 | 0.08 | 3.5x | 194 | 56% |
| MACD fast=19, slow=42, signal=18 |
2.1% | -76.4% | 0.21 | 0.03 | 1.6x | 268 | 51% |
| Buy and hold | 14.4% | -93.5% | 0.58 | 0.15 | 25.6x | 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) — 30-day volatility, 4.8× band
- Sell — Sell when price drops below the trend line (flips down)