Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Bharti Airtel Limited backtest
10 trend-following strategies were compared on the full daily history of Bharti Airtel Limited. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 17.7%, MDD -30.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 21.7%, drawdown -56.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 20.9%, MDD -50.0%, Sharpe 0.81, 67% exposure.
Return/drawdown alternative: Supertrend — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 6.9%p (CAGR 17.7%, MDD -30.9%, exposure 56%).
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=52, exitN=59 |
20.9% | -50.0% | 0.81 | 0.42 | 97.4x | 31 | 67% |
| Supertrend period=27, mult=4.9 |
17.7% | -30.9% | 0.77 | 0.57 | 51.9x | 49 | 56% |
| SMA 크로스오버 fast=18, slow=132 |
18.7% | -52.2% | 0.76 | 0.36 | 62.9x | 51 | 64% |
| EMA 크로스오버 fast=43, slow=139 |
19.2% | -66.5% | 0.76 | 0.29 | 69.6x | 31 | 68% |
| 볼린저 밴드 돌파 n=75, k=1.7 |
15.9% | -43.4% | 0.75 | 0.37 | 35.1x | 76 | 47% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=23, mult=2.6 |
11.3% | -51.7% | 0.61 | 0.22 | 13.2x | 80 | 35% |
| ADX / DI 방향성 period=39, threshold=11 |
12.1% | -60.9% | 0.60 | 0.20 | 15.8x | 186 | 45% |
| ROC 모멘텀 n=95, threshold=0 |
13.2% | -69.6% | 0.59 | 0.19 | 20.1x | 207 | 65% |
| MACD fast=38, slow=59, signal=39 |
9.8% | -79.7% | 0.50 | 0.12 | 9.5x | 137 | 53% |
| Parabolic SAR step=0.01, maxStep=0.34 |
3.4% | -76.5% | 0.26 | 0.04 | 2.2x | 340 | 54% |
| Buy and hold | 21.7% | -56.9% | 0.74 | 0.38 | 115.0x | 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 52 days
- Sell — Sell when price breaks below the lowest low of the last 59 days