Trend-Following Backtester · Guide · backtest 한국어
equity · IN
HDFC Life Insurance Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of HDFC Life Insurance Co. Ltd.. 3 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.2%, MDD -28.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 5.3%, drawdown -46.2%).
Sharpe leader (same as main): Supertrend — CAGR 10.5%, MDD -34.9%, Sharpe 0.62, 56% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.2%p higher than buy and hold, while drawdown improves by 11.3%p (CAGR 5.2%, MDD -28.6%, exposure 33%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=27, mult=4.8 |
10.5% | -34.9% | 0.62 | 0.30 | 2.4x | 16 | 56% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=21, mult=2.2 |
5.1% | -27.9% | 0.44 | 0.18 | 1.5x | 38 | 26% |
| 볼린저 밴드 돌파 n=33, k=1.9 |
5.2% | -28.6% | 0.42 | 0.18 | 1.6x | 50 | 33% |
| MACD fast=18, slow=48, signal=24 |
5.6% | -42.0% | 0.40 | 0.13 | 1.6x | 67 | 47% |
| Donchian 채널 돌파 entryN=16, exitN=47 |
5.3% | -38.4% | 0.35 | 0.14 | 1.6x | 30 | 73% |
| SMA 크로스오버 fast=21, slow=31 |
4.4% | -42.0% | 0.33 | 0.11 | 1.5x | 74 | 51% |
| ADX / DI 방향성 period=39, threshold=21 |
2.4% | -15.7% | 0.32 | 0.15 | 1.2x | 8 | 7% |
| Parabolic SAR step=0.005, maxStep=0.12 |
3.8% | -34.4% | 0.30 | 0.11 | 1.4x | 71 | 50% |
| ROC 모멘텀 n=59, threshold=0.12 |
2.8% | -32.7% | 0.28 | 0.08 | 1.3x | 68 | 22% |
| EMA 크로스오버 fast=15, slow=157 |
3.2% | -31.4% | 0.27 | 0.10 | 1.3x | 20 | 53% |
| Buy and hold | 5.3% | -46.2% | 0.33 | 0.11 | 1.6x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 27-day volatility, 4.8× band
- Sell — Sell when price drops below the trend line (flips down)