Trend-Following Backtester · Guide · backtest 한국어
equity · IN
InterGlobe Aviation Ltd backtest
10 trend-following strategies were compared on the full daily history of InterGlobe Aviation Ltd. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.7%, MDD -36.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 17.9%, drawdown -54.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 19.3%, MDD -45.5%, Sharpe 0.76, 80% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 9.1%p (CAGR 14.7%, MDD -36.9%, exposure 62%).
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=38, exitN=105 |
19.3% | -45.5% | 0.76 | 0.42 | 6.6x | 9 | 80% |
| SMA 크로스오버 fast=24, slow=211 |
14.7% | -36.9% | 0.67 | 0.40 | 4.4x | 15 | 62% |
| EMA 크로스오버 fast=20, slow=231 |
12.6% | -45.7% | 0.59 | 0.27 | 3.6x | 15 | 65% |
| ROC 모멘텀 n=89, threshold=-0.03 |
12.6% | -39.0% | 0.59 | 0.32 | 3.6x | 93 | 65% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=27, mult=3.5 |
8.5% | -31.1% | 0.52 | 0.27 | 2.4x | 25 | 35% |
| ADX / DI 방향성 period=40, threshold=11 |
9.3% | -43.5% | 0.51 | 0.21 | 2.6x | 90 | 46% |
| 볼린저 밴드 돌파 n=57, k=1.7 |
7.8% | -35.6% | 0.46 | 0.22 | 2.2x | 49 | 43% |
| MACD fast=14, slow=30, signal=24 |
7.7% | -47.0% | 0.44 | 0.16 | 2.2x | 128 | 49% |
| Supertrend period=20, mult=5 |
7.7% | -47.3% | 0.42 | 0.16 | 2.2x | 31 | 59% |
| Parabolic SAR step=0.025, maxStep=0.36 |
2.9% | -39.6% | 0.24 | 0.07 | 1.4x | 255 | 54% |
| Buy and hold | 17.9% | -54.7% | 0.64 | 0.33 | 5.9x | 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 38 days
- Sell — Sell when price breaks below the lowest low of the last 105 days