Trend-Following Backtester · Guide · backtest 한국어
equity · IN
HDFC Asset Management Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of HDFC Asset Management Co. Ltd.. 6 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 17.9%, MDD -24.4%).
Results by strategy
6 of 10 beat buy and hold (CAGR 14.1%, drawdown -55.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 16.9%, MDD -34.2%, Sharpe 1.01, 28% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 18.6%, MDD -28.3%, exposure 58%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 21.5%p (CAGR 17.9%, MDD -24.4%, exposure 49%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=29, mult=3.3 |
16.9% | -34.2% | 1.01 | 0.50 | 3.5x | 16 | 28% |
| ADX / DI 방향성 period=23, threshold=18 |
16.0% | -40.7% | 0.95 | 0.39 | 3.3x | 42 | 32% |
| 볼린저 밴드 돌파 n=59, k=3.5 |
8.6% | -11.1% | 0.89 | 0.78 | 1.9x | 4 | 15% |
| Donchian 채널 돌파 entryN=60, exitN=50 |
17.9% | -24.4% | 0.85 | 0.73 | 3.7x | 14 | 49% |
| ROC 모멘텀 n=65, threshold=-0.01 |
18.6% | -28.3% | 0.85 | 0.66 | 3.9x | 64 | 58% |
| SMA 크로스오버 fast=49, slow=76 |
16.8% | -38.7% | 0.82 | 0.43 | 3.5x | 28 | 53% |
| EMA 크로스오버 fast=18, slow=58 |
15.1% | -34.6% | 0.72 | 0.44 | 3.1x | 28 | 57% |
| Supertrend period=17, mult=4 |
11.9% | -41.7% | 0.62 | 0.29 | 2.5x | 32 | 51% |
| Parabolic SAR step=0.005, maxStep=0.38 |
5.2% | -45.7% | 0.33 | 0.11 | 1.5x | 70 | 57% |
| MACD fast=19, slow=43, signal=13 |
2.7% | -43.7% | 0.23 | 0.06 | 1.2x | 90 | 51% |
| Buy and hold | 14.1% | -55.6% | 0.58 | 0.25 | 2.9x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 38-day average + 3.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 38-day average