Trend-Following Backtester · Guide · backtest 한국어
equity · IN
IDBI Bank Limited backtest
10 trend-following strategies were compared on the full daily history of IDBI Bank Limited. 9 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.6%, MDD -22.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR 1.1%, drawdown -91.0%).
Sharpe leader (same as main): MACD — CAGR 11.9%, MDD -67.0%, Sharpe 0.49, 48% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 10.8%p higher than buy and hold, while drawdown improves by 24.0%p (CAGR 1.6%, MDD -22.5%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=20, slow=47, signal=23 |
11.9% | -67.0% | 0.49 | 0.18 | 31.4x | 257 | 48% |
| ADX / DI 방향성 period=12, threshold=5 |
6.4% | -75.4% | 0.35 | 0.08 | 6.6x | 561 | 54% |
| Donchian 채널 돌파 entryN=6, exitN=48 |
5.4% | -87.7% | 0.33 | 0.06 | 5.0x | 139 | 82% |
| Parabolic SAR step=0.015, maxStep=0.04 |
5.8% | -72.8% | 0.33 | 0.08 | 5.6x | 307 | 45% |
| Supertrend period=8, mult=3.4 |
4.4% | -69.9% | 0.30 | 0.06 | 3.8x | 163 | 48% |
| SMA 크로스오버 fast=6, slow=28 |
3.5% | -75.7% | 0.27 | 0.05 | 2.8x | 331 | 47% |
| ROC 모멘텀 n=16, threshold=-0.03 |
2.2% | -76.4% | 0.24 | 0.03 | 1.9x | 743 | 63% |
| 볼린저 밴드 돌파 n=31, k=2.4 |
3.0% | -71.9% | 0.24 | 0.04 | 2.4x | 161 | 25% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=11, mult=3.7 |
1.6% | -22.5% | 0.23 | 0.07 | 1.6x | 10 | 1% |
| EMA 크로스오버 fast=44, slow=64 |
-0.9% | -86.4% | 0.14 | -0.01 | 0.7x | 85 | 51% |
| Buy and hold | 1.1% | -91.0% | 0.26 | 0.01 | 1.4x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (20/47) crosses above its 23-day signal line
- Sell — Sell when the MACD line crosses back below the signal line