Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Bajaj Finance Limited backtest
10 trend-following strategies were compared on the full daily history of Bajaj Finance Limited. 3 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
3 of 10 beat buy and hold (CAGR 36.8%, drawdown -99.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR -3.7%, MDD -99.6%, Sharpe 0.56, 44% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 41.6%, MDD -99.5%, exposure 83%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=18, k=1.6 |
-3.7% | -99.6% | 0.56 | -0.04 | 0.4x | 306 | 44% |
| MACD fast=23, slow=57, signal=13 |
-3.2% | -99.8% | 0.56 | -0.03 | 0.5x | 244 | 53% |
| Parabolic SAR step=0.01, maxStep=0.34 |
-5.0% | -99.7% | 0.51 | -0.05 | 0.3x | 309 | 57% |
| ADX / DI 방향성 period=11, threshold=28 |
-7.4% | -99.7% | 0.44 | -0.07 | 0.2x | 274 | 36% |
| Donchian 채널 돌파 entryN=10, exitN=41 |
41.6% | -99.5% | 0.22 | 0.42 | 4476.6x | 75 | 83% |
| EMA 크로스오버 fast=15, slow=40 |
41.4% | -99.1% | 0.22 | 0.42 | 4327.2x | 93 | 66% |
| SMA 크로스오버 fast=9, slow=60 |
41.0% | -99.1% | 0.22 | 0.41 | 4026.9x | 111 | 65% |
| ROC 모멘텀 n=92, threshold=-0.09 |
36.4% | -99.2% | 0.22 | 0.37 | 1805.4x | 139 | 82% |
| Supertrend period=13, mult=4.1 |
35.0% | -99.2% | 0.22 | 0.35 | 1420.3x | 77 | 63% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=13, mult=0.9 |
31.8% | -99.5% | 0.22 | 0.32 | 793.8x | 149 | 59% |
| Buy and hold | 36.8% | -99.8% | 0.22 | 0.37 | 1943.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 18-day average (1.6× volatility)
- Sell — Sell when the close falls back to the 18-day middle average