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 0.8%, drawdown -91.0%).
Sharpe leader (same as main): MACD — CAGR 12.1%, MDD -67.0%, Sharpe 0.50, 48% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 11.3%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 |
12.1% | -67.0% | 0.50 | 0.18 | 32.7x | 255 | 48% |
| ADX / DI 방향성 period=12, threshold=5 |
6.1% | -75.4% | 0.34 | 0.08 | 6.2x | 559 | 53% |
| Parabolic SAR step=0.015, maxStep=0.04 |
5.7% | -72.8% | 0.33 | 0.08 | 5.4x | 306 | 45% |
| Donchian 채널 돌파 entryN=6, exitN=48 |
5.1% | -87.7% | 0.33 | 0.06 | 4.6x | 139 | 82% |
| Supertrend period=8, mult=3.4 |
4.2% | -69.9% | 0.29 | 0.06 | 3.5x | 163 | 48% |
| SMA 크로스오버 fast=6, slow=28 |
3.6% | -75.7% | 0.27 | 0.05 | 3.0x | 330 | 48% |
| 볼린저 밴드 돌파 n=31, k=2.4 |
3.1% | -71.9% | 0.25 | 0.04 | 2.6x | 160 | 25% |
| ROC 모멘텀 n=16, threshold=-0.03 |
1.9% | -76.4% | 0.24 | 0.02 | 1.8x | 741 | 63% |
| 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 |
-1.2% | -86.4% | 0.13 | -0.01 | 0.7x | 85 | 51% |
| Buy and hold | 0.8% | -91.0% | 0.26 | 0.01 | 1.3x | 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