Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Indian Bank backtest
10 trend-following strategies were compared on the full daily history of Indian Bank. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 15.1%, MDD -47.4%).
Results by strategy
6 of 10 beat buy and hold (CAGR 12.0%, drawdown -89.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 22.0%, MDD -65.0%, Sharpe 0.70, 81% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 10.0%p higher than buy and hold, while drawdown improves by 24.8%p (CAGR 15.1%, MDD -47.4%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=18, exitN=97 |
22.0% | -65.0% | 0.70 | 0.34 | 48.4x | 35 | 81% |
| EMA 크로스오버 fast=13, slow=169 |
17.4% | -54.8% | 0.66 | 0.32 | 22.8x | 39 | 57% |
| SMA 크로스오버 fast=9, slow=210 |
15.1% | -47.4% | 0.61 | 0.32 | 15.5x | 41 | 54% |
| ADX / DI 방향성 period=36, threshold=8 |
13.3% | -52.1% | 0.55 | 0.26 | 11.4x | 205 | 53% |
| ROC 모멘텀 n=140, threshold=0.06 |
12.7% | -63.1% | 0.54 | 0.20 | 10.3x | 138 | 51% |
| Supertrend period=13, mult=3.8 |
13.3% | -74.9% | 0.53 | 0.18 | 11.4x | 79 | 59% |
| 볼린저 밴드 돌파 n=20, k=3.3 |
5.8% | -24.0% | 0.50 | 0.24 | 3.0x | 26 | 6% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=11, mult=2.9 |
7.9% | -28.8% | 0.47 | 0.27 | 4.4x | 58 | 19% |
| MACD fast=18, slow=49, signal=15 |
10.4% | -68.1% | 0.47 | 0.15 | 6.9x | 213 | 48% |
| Parabolic SAR step=0.01, maxStep=0.14 |
8.2% | -58.8% | 0.41 | 0.14 | 4.7x | 253 | 50% |
| Buy and hold | 12.0% | -89.8% | 0.48 | 0.13 | 9.1x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 18 days
- Sell — Sell when price breaks below the lowest low of the last 97 days