Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Indus Towers Limited backtest
10 trend-following strategies were compared on the full daily history of Indus Towers Limited. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.9%, MDD -32.6%).
Results by strategy
5 of 10 beat buy and hold (CAGR 5.4%, drawdown -74.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.4%, MDD -49.6%, Sharpe 0.47, 44% exposure.
CAGR reference leader: Supertrend — CAGR 8.5%, MDD -64.8%, exposure 53%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 24.6%p (CAGR 4.9%, MDD -32.6%, exposure 24%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=53, slow=161 |
8.4% | -49.6% | 0.47 | 0.17 | 3.0x | 20 | 44% |
| Donchian 채널 돌파 entryN=105, exitN=51 |
7.8% | -48.4% | 0.45 | 0.16 | 2.8x | 16 | 38% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=23, mult=2.8 |
7.1% | -46.0% | 0.44 | 0.15 | 2.5x | 30 | 32% |
| Supertrend period=11, mult=4.3 |
8.5% | -64.8% | 0.44 | 0.13 | 3.0x | 30 | 53% |
| 볼린저 밴드 돌파 n=48, k=2.9 |
4.9% | -32.6% | 0.36 | 0.15 | 1.9x | 30 | 24% |
| EMA 크로스오버 fast=27, slow=39 |
5.7% | -68.5% | 0.35 | 0.08 | 2.1x | 48 | 49% |
| ROC 모멘텀 n=81, threshold=0.03 |
3.5% | -69.3% | 0.27 | 0.05 | 1.6x | 138 | 44% |
| ADX / DI 방향성 period=39, threshold=15 |
1.8% | -44.1% | 0.19 | 0.04 | 1.3x | 48 | 20% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-1.0% | -66.3% | 0.09 | -0.01 | 0.9x | 110 | 49% |
| MACD fast=19, slow=52, signal=15 |
-10.5% | -85.4% | -0.29 | -0.12 | 0.2x | 174 | 50% |
| Buy and hold | 5.4% | -74.3% | 0.33 | 0.07 | 2.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 53-day average price crosses above the 161-day average
- Sell — Sell (to cash) when the 53-day average falls below the 161-day average