Trend-Following Backtester · Guide · backtest 한국어
equity · IN
IndusInd Bank Ltd. backtest
10 trend-following strategies were compared on the full daily history of IndusInd Bank Ltd.. 2 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 20.7%, MDD -48.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 18.0%, drawdown -85.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 16.9%, MDD -58.6%, Sharpe 0.72, 41% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 20.7%, MDD -48.3%, exposure 72%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 26.5%p (CAGR 20.7%, MDD -48.3%, exposure 72%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=39, threshold=13 |
16.9% | -58.6% | 0.72 | 0.29 | 43.3x | 143 | 41% |
| SMA 크로스오버 fast=31, slow=161 |
19.8% | -52.9% | 0.72 | 0.37 | 77.1x | 37 | 64% |
| Donchian 채널 돌파 entryN=44, exitN=87 |
20.7% | -48.3% | 0.71 | 0.43 | 93.2x | 39 | 72% |
| 볼린저 밴드 돌파 n=40, k=2.6 |
14.6% | -33.3% | 0.67 | 0.44 | 26.7x | 83 | 31% |
| EMA 크로스오버 fast=20, slow=50 |
17.1% | -46.4% | 0.65 | 0.37 | 45.2x | 97 | 61% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=23, mult=2.5 |
14.2% | -51.0% | 0.63 | 0.28 | 24.4x | 81 | 42% |
| ROC 모멘텀 n=140, threshold=0 |
16.2% | -67.4% | 0.62 | 0.24 | 37.3x | 143 | 65% |
| Supertrend period=18, mult=3.6 |
12.9% | -50.8% | 0.55 | 0.25 | 18.4x | 105 | 59% |
| Parabolic SAR step=0.005, maxStep=0.3 |
10.9% | -61.0% | 0.49 | 0.18 | 12.0x | 207 | 56% |
| MACD fast=14, slow=48, signal=17 |
8.9% | -56.8% | 0.43 | 0.16 | 7.8x | 304 | 49% |
| Buy and hold | 18.0% | -85.1% | 0.60 | 0.21 | 54.2x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 39-day) is ≥ 13
- Sell — Sell when direction flips or the trend weakens (ADX < 13)