Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Cholamandalam Investment and Finance Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of Cholamandalam Investment and Finance Co. Ltd.. 4 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
4 of 10 beat buy and hold (CAGR 25.5%, drawdown -96.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 12.8%, MDD -82.5%, Sharpe 0.59, 51% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 34.0%, MDD -82.5%, exposure 89%.
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=44, k=1.1 |
12.8% | -82.5% | 0.59 | 0.15 | 18.1x | 191 | 51% |
| Donchian 채널 돌파 entryN=8, exitN=82 |
34.0% | -82.5% | 0.55 | 0.41 | 1155.7x | 43 | 89% |
| MACD fast=15, slow=53, signal=17 |
10.1% | -85.2% | 0.51 | 0.12 | 10.2x | 260 | 51% |
| ROC 모멘텀 n=90, threshold=-0.04 |
29.2% | -80.4% | 0.50 | 0.36 | 473.9x | 145 | 73% |
| Supertrend period=17, mult=3.9 |
29.3% | -81.1% | 0.50 | 0.36 | 490.1x | 69 | 63% |
| EMA 크로스오버 fast=4, slow=16 |
9.1% | -85.0% | 0.48 | 0.11 | 8.1x | 431 | 59% |
| SMA 크로스오버 fast=5, slow=100 |
27.4% | -80.7% | 0.48 | 0.34 | 340.8x | 107 | 64% |
| ADX / DI 방향성 period=19, threshold=25 |
8.2% | -46.5% | 0.46 | 0.18 | 6.6x | 122 | 24% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=13, mult=1.6 |
22.3% | -80.8% | 0.43 | 0.28 | 126.2x | 123 | 49% |
| Parabolic SAR step=0.02, maxStep=0.08 |
6.4% | -83.6% | 0.41 | 0.08 | 4.4x | 425 | 55% |
| Buy and hold | 25.5% | -96.9% | 0.49 | 0.26 | 236.9x | 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 44-day average (1.1× volatility)
- Sell — Sell when the close falls back to the 44-day middle average