Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Bank of Baroda backtest
10 trend-following strategies were compared on the full daily history of Bank of Baroda. 0 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 10.0%, MDD -61.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.9%, drawdown -83.8%).
Sharpe leader (same as main): MACD — CAGR 10.0%, MDD -61.8%, Sharpe 0.48, 50% exposure.
Return/drawdown alternative: MACD — CAGR is 2.8%p lower than buy and hold, while drawdown improves by 22.0%p (CAGR 10.0%, MDD -61.8%, exposure 50%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=14, slow=59, signal=15 |
10.0% | -61.8% | 0.48 | 0.16 | 10.0x | 280 | 50% |
| SMA 크로스오버 fast=36, slow=213 |
8.8% | -66.4% | 0.43 | 0.13 | 7.6x | 34 | 57% |
| ADX / DI 방향성 period=29, threshold=14 |
7.9% | -51.2% | 0.42 | 0.15 | 6.2x | 192 | 33% |
| EMA 크로스오버 fast=21, slow=48 |
7.9% | -81.4% | 0.40 | 0.10 | 6.2x | 104 | 57% |
| 볼린저 밴드 돌파 n=25, k=1.3 |
6.9% | -59.0% | 0.39 | 0.12 | 5.0x | 256 | 40% |
| Donchian 채널 돌파 entryN=12, exitN=57 |
7.5% | -83.9% | 0.38 | 0.09 | 5.7x | 82 | 80% |
| Supertrend period=23, mult=3.5 |
6.7% | -72.5% | 0.37 | 0.09 | 4.8x | 118 | 50% |
| ROC 모멘텀 n=124, threshold=0.1 |
5.6% | -69.2% | 0.34 | 0.08 | 3.7x | 224 | 46% |
| Parabolic SAR step=0.015, maxStep=0.14 |
3.0% | -69.2% | 0.25 | 0.04 | 2.0x | 434 | 52% |
| Keltner 채널 돌파 emaPeriod=68, atrPeriod=27, mult=1.3 |
3.0% | -76.3% | 0.25 | 0.04 | 2.0x | 160 | 45% |
| Buy and hold | 12.9% | -83.8% | 0.50 | 0.15 | 18.4x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (14/59) crosses above its 15-day signal line
- Sell — Sell when the MACD line crosses back below the signal line