Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Federal Bank Ltd. (India) backtest
10 trend-following strategies were compared on the full daily history of Federal Bank Ltd. (India). 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 15.5%, MDD -56.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 15.4%, drawdown -87.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.7%, MDD -56.3%, Sharpe 0.62, 57% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 31.4%p (CAGR 15.5%, MDD -56.0%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=13, slow=157 |
15.7% | -56.3% | 0.62 | 0.28 | 87.2x | 71 | 57% |
| EMA 크로스오버 fast=32, slow=64 |
15.5% | -56.0% | 0.61 | 0.28 | 81.1x | 81 | 58% |
| ROC 모멘텀 n=95, threshold=-0.08 |
13.6% | -64.0% | 0.54 | 0.21 | 48.9x | 213 | 73% |
| Supertrend period=8, mult=3.9 |
12.3% | -69.5% | 0.53 | 0.18 | 34.5x | 127 | 56% |
| Donchian 채널 돌파 entryN=107, exitN=74 |
12.1% | -63.6% | 0.53 | 0.19 | 33.2x | 37 | 59% |
| 볼린저 밴드 돌파 n=49, k=1 |
11.2% | -64.3% | 0.52 | 0.17 | 25.7x | 211 | 45% |
| MACD fast=12, slow=42, signal=16 |
9.2% | -57.1% | 0.44 | 0.16 | 14.8x | 399 | 52% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=34, mult=3 |
6.8% | -61.5% | 0.40 | 0.11 | 7.5x | 105 | 29% |
| Parabolic SAR step=0.015, maxStep=0.14 |
7.6% | -59.2% | 0.40 | 0.13 | 9.5x | 491 | 50% |
| ADX / DI 방향성 period=27, threshold=3 |
6.2% | -78.9% | 0.35 | 0.08 | 6.3x | 401 | 54% |
| Buy and hold | 15.4% | -87.8% | 0.55 | 0.18 | 80.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 13-day average price crosses above the 157-day average
- Sell — Sell (to cash) when the 13-day average falls below the 157-day average