Trend-Following Backtester · Guide · backtest 한국어
equity · IN
IIFL Finance Limited backtest
10 trend-following strategies were compared on the full daily history of IIFL Finance Limited. 7 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 23.4%, MDD -53.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR 22.3%, drawdown -90.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 29.4%, MDD -64.3%, Sharpe 0.83, 60% exposure.
CAGR reference leader: Supertrend — CAGR 32.0%, MDD -54.4%, exposure 57%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.0%p higher than buy and hold, while drawdown improves by 26.4%p (CAGR 23.4%, MDD -53.5%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=25, slow=67 |
29.4% | -64.3% | 0.83 | 0.46 | 234.8x | 63 | 60% |
| Supertrend period=7, mult=3.1 |
32.0% | -54.4% | 0.82 | 0.59 | 359.2x | 93 | 57% |
| Donchian 채널 돌파 entryN=81, exitN=58 |
25.8% | -57.9% | 0.79 | 0.45 | 130.9x | 25 | 57% |
| ADX / DI 방향성 period=47, threshold=5 |
23.9% | -64.8% | 0.74 | 0.37 | 94.0x | 175 | 59% |
| 볼린저 밴드 돌파 n=96, k=0.7 |
23.4% | -53.5% | 0.74 | 0.44 | 86.9x | 99 | 53% |
| ROC 모멘텀 n=68, threshold=0 |
24.3% | -71.1% | 0.74 | 0.34 | 100.4x | 221 | 59% |
| SMA 크로스오버 fast=10, slow=48 |
25.0% | -64.9% | 0.70 | 0.39 | 114.0x | 143 | 57% |
| MACD fast=15, slow=57, signal=19 |
18.4% | -70.4% | 0.61 | 0.26 | 35.8x | 221 | 52% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=12, mult=2.4 |
15.5% | -56.1% | 0.59 | 0.28 | 21.2x | 81 | 35% |
| Parabolic SAR step=0.015, maxStep=0.38 |
7.3% | -75.3% | 0.37 | 0.10 | 4.4x | 365 | 52% |
| Buy and hold | 22.3% | -90.7% | 0.63 | 0.25 | 71.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 25-day EMA crosses above the 67-day EMA
- Sell — Sell when the 25-day EMA falls below the 67-day EMA