Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Infosys Limited backtest
10 trend-following strategies were compared on the full daily history of Infosys Limited. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 21.2%, MDD -44.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 26.8%, drawdown -83.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 18.6%, MDD -31.4%, Sharpe 0.98, 24% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 22.1%, MDD -57.6%, exposure 61%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 8.1%p lower than buy and hold, while drawdown improves by 51.6%p (CAGR 21.2%, MDD -44.4%, exposure 46%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=9, mult=4 |
18.6% | -31.4% | 0.98 | 0.59 | 186.3x | 52 | 24% |
| 볼린저 밴드 돌파 n=49, k=1.7 |
21.2% | -44.4% | 0.94 | 0.48 | 358.0x | 144 | 46% |
| Donchian 채널 돌파 entryN=62, exitN=32 |
20.5% | -44.4% | 0.88 | 0.46 | 300.1x | 76 | 49% |
| SMA 크로스오버 fast=58, slow=79 |
22.1% | -57.6% | 0.85 | 0.38 | 443.7x | 96 | 61% |
| Supertrend period=8, mult=4 |
19.2% | -63.8% | 0.82 | 0.30 | 213.4x | 129 | 58% |
| EMA 크로스오버 fast=23, slow=39 |
20.1% | -67.9% | 0.81 | 0.30 | 272.3x | 128 | 61% |
| ROC 모멘텀 n=61, threshold=0.04 |
18.6% | -62.3% | 0.79 | 0.30 | 184.2x | 340 | 51% |
| ADX / DI 방향성 period=21, threshold=21 |
13.1% | -45.3% | 0.70 | 0.29 | 43.5x | 172 | 29% |
| MACD fast=18, slow=42, signal=10 |
12.7% | -58.7% | 0.59 | 0.22 | 39.1x | 399 | 53% |
| Parabolic SAR step=0.005, maxStep=0.24 |
11.7% | -81.0% | 0.56 | 0.14 | 29.6x | 257 | 55% |
| Buy and hold | 26.8% | -83.0% | 0.82 | 0.32 | 1411.4x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 45-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 45-day average