Trend-Following Backtester · Guide · backtest 한국어
equity · IN
IDFC First Bank Ltd. backtest
10 trend-following strategies were compared on the full daily history of IDFC First Bank Ltd.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.0%, MDD -18.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.8%, drawdown -77.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 11.1%, MDD -33.5%, Sharpe 0.80, 20% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 11.8%, MDD -34.8%, exposure 25%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 9.3%p higher than buy and hold, while drawdown improves by 44.2%p (CAGR 8.0%, MDD -18.8%, exposure 9%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=52, k=3.1 |
11.1% | -33.5% | 0.80 | 0.33 | 3.1x | 18 | 20% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=13, mult=3.9 |
8.0% | -18.8% | 0.79 | 0.42 | 2.3x | 10 | 9% |
| ADX / DI 방향성 period=26, threshold=17 |
11.8% | -34.8% | 0.76 | 0.34 | 3.3x | 59 | 25% |
| ROC 모멘텀 n=56, threshold=0.14 |
10.5% | -31.9% | 0.67 | 0.33 | 3.0x | 82 | 25% |
| Donchian 채널 돌파 entryN=70, exitN=9 |
7.4% | -41.5% | 0.57 | 0.18 | 2.2x | 36 | 20% |
| EMA 크로스오버 fast=59, slow=72 |
8.4% | -54.8% | 0.48 | 0.15 | 2.4x | 17 | 41% |
| Supertrend period=17, mult=3 |
8.5% | -45.8% | 0.47 | 0.19 | 2.4x | 67 | 47% |
| SMA 크로스오버 fast=53, slow=103 |
7.8% | -50.8% | 0.46 | 0.15 | 2.3x | 21 | 39% |
| Parabolic SAR step=0.015, maxStep=0.3 |
8.0% | -57.8% | 0.44 | 0.14 | 2.3x | 174 | 49% |
| MACD fast=9, slow=59, signal=18 |
4.9% | -50.9% | 0.32 | 0.10 | 1.7x | 146 | 49% |
| Buy and hold | 1.8% | -77.6% | 0.23 | 0.02 | 1.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 52-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 52-day middle average