Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Vodafone Idea Ltd backtest
10 trend-following strategies were compared on the full daily history of Vodafone Idea Ltd. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.8%, MDD -19.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.9%, drawdown -97.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 3.9%, MDD -51.7%, Sharpe 0.28, 33% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.8%p higher than buy and hold, while drawdown improves by 45.9%p (CAGR 1.8%, MDD -19.8%, exposure 2%).
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=45, atrPeriod=28, mult=1.4 |
3.9% | -51.7% | 0.28 | 0.08 | 2.1x | 114 | 33% |
| EMA 크로스오버 fast=46, slow=59 |
3.8% | -56.8% | 0.28 | 0.07 | 2.1x | 41 | 43% |
| SMA 크로스오버 fast=10, slow=185 |
3.6% | -70.0% | 0.28 | 0.05 | 2.0x | 47 | 43% |
| ADX / DI 방향성 period=36, threshold=31 |
1.8% | -19.8% | 0.25 | 0.09 | 1.4x | 4 | 2% |
| 볼린저 밴드 돌파 n=24, k=1.5 |
1.7% | -84.2% | 0.22 | 0.02 | 1.4x | 200 | 34% |
| Supertrend period=13, mult=4.6 |
1.0% | -77.0% | 0.21 | 0.01 | 1.2x | 52 | 46% |
| MACD fast=13, slow=22, signal=18 |
0.1% | -83.3% | 0.21 | 0.00 | 1.0x | 264 | 51% |
| Donchian 채널 돌파 entryN=76, exitN=37 |
1.3% | -55.3% | 0.19 | 0.02 | 1.3x | 36 | 34% |
| ROC 모멘텀 n=127, threshold=-0.03 |
0.2% | -71.5% | 0.18 | 0.00 | 1.0x | 157 | 49% |
| Parabolic SAR step=0.01, maxStep=0.06 |
-2.9% | -86.2% | 0.12 | -0.03 | 0.6x | 230 | 46% |
| Buy and hold | -6.9% | -97.6% | 0.16 | -0.07 | 0.3x | 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 45-day average + 1.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 45-day average