Trend-Following Backtester · Guide · backtest 한국어
equity · IN
ICICI Prudential Life Insurance Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of ICICI Prudential Life Insurance Co. Ltd.. 4 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.1%, MDD -20.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 5.7%, drawdown -54.9%).
Sharpe leader (same as main): Supertrend — CAGR 10.0%, MDD -29.7%, Sharpe 0.55, 51% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.3%p higher than buy and hold, while drawdown improves by 25.2%p (CAGR 6.1%, MDD -20.6%, exposure 22%).
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=30, mult=2.4 |
10.0% | -29.7% | 0.55 | 0.34 | 2.6x | 71 | 51% |
| 볼린저 밴드 돌파 n=59, k=2.7 |
6.1% | -20.6% | 0.55 | 0.30 | 1.8x | 16 | 22% |
| Donchian 채널 돌파 entryN=61, exitN=17 |
6.1% | -29.1% | 0.47 | 0.21 | 1.8x | 26 | 33% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=18, mult=3.6 |
4.4% | -17.7% | 0.43 | 0.25 | 1.5x | 18 | 22% |
| SMA 크로스오버 fast=34, slow=75 |
6.3% | -45.0% | 0.43 | 0.14 | 1.8x | 30 | 49% |
| MACD fast=29, slow=45, signal=19 |
3.6% | -50.5% | 0.27 | 0.07 | 1.4x | 83 | 47% |
| EMA 크로스오버 fast=35, slow=45 |
2.5% | -49.0% | 0.23 | 0.05 | 1.3x | 38 | 51% |
| ADX / DI 방향성 period=29, threshold=24 |
1.3% | -19.5% | 0.20 | 0.07 | 1.1x | 14 | 10% |
| ROC 모멘텀 n=54, threshold=0.06 |
1.8% | -40.5% | 0.19 | 0.04 | 1.2x | 110 | 37% |
| Parabolic SAR step=0.04, maxStep=0.28 |
-4.1% | -47.0% | -0.10 | -0.09 | 0.7x | 327 | 52% |
| Buy and hold | 5.7% | -54.9% | 0.34 | 0.10 | 1.7x | 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) — 30-day volatility, 2.4× band
- Sell — Sell when price drops below the trend line (flips down)