Trend-Following Backtester · Guide · backtest 한국어

equity · IN

Indian Hotels Co. Ltd. backtest

10 trend-following strategies were compared on the full daily history of Indian Hotels Co. Ltd.. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 20.0%, MDD -49.3%).

Data 2002-07-01 ~ 2026-07-31daily bars 5,984 (24.1 years)Costs 0.5%Venue NSEMonthly snapshot 2026-07-31

Results by strategy

3 of 10 beat buy and hold (CAGR 17.6%, drawdown -80.3%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 21.5%, MDD -56.9%, Sharpe 0.83, 72% exposure.

Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 23.4%p (CAGR 20.0%, MDD -49.3%, exposure 61%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=24, exitN=61
21.5%-56.9%0.830.38109.6x4772%
EMA 크로스오버
fast=37, slow=67
20.0%-49.3%0.810.4180.9x5361%
SMA 크로스오버
fast=44, slow=98
19.9%-54.2%0.810.3778.7x5159%
Supertrend
period=42, mult=3.4
17.5%-51.4%0.790.3448.6x9354%
ROC 모멘텀
n=88, threshold=0.01
14.3%-62.8%0.640.2325.1x20558%
볼린저 밴드 돌파
n=41, k=1.9
11.8%-46.6%0.630.2514.7x11936%
Keltner 채널 돌파
emaPeriod=50, atrPeriod=8, mult=1.8
11.1%-49.9%0.600.2212.5x11338%
ADX / DI 방향성
period=29, threshold=18
8.7%-47.2%0.540.187.4x10828%
MACD
fast=17, slow=54, signal=22
9.5%-65.9%0.490.148.9x24450%
Parabolic SAR
step=0.005, maxStep=0.2
8.6%-69.4%0.460.127.3x19952%
Buy and hold17.6%-80.3%0.640.2249.6x1100%
1x 10x 100x 2003 2006 2009 2012 2015 2018 2021 2024 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -20% -40% -60% -80% 2003 2006 2009 2012 2015 2018 2021 2024 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -56.9% (2010-05-13 → 2013-09-24), recovered after 1,503 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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