Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Indian Overseas Bank backtest
10 trend-following strategies were compared on the full daily history of Indian Overseas Bank. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.8%, MDD -48.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR 4.1%, drawdown -96.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.8%, MDD -48.1%, Sharpe 0.58, 44% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 10.7%p higher than buy and hold, while drawdown improves by 48.8%p (CAGR 14.8%, MDD -48.1%, exposure 44%).
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=48, slow=197 |
14.8% | -48.1% | 0.58 | 0.31 | 28.0x | 26 | 44% |
| MACD fast=11, slow=52, signal=18 |
12.5% | -79.0% | 0.52 | 0.16 | 17.1x | 288 | 50% |
| EMA 크로스오버 fast=48, slow=127 |
12.5% | -57.7% | 0.52 | 0.22 | 17.2x | 26 | 45% |
| Donchian 채널 돌파 entryN=47, exitN=29 |
11.6% | -66.1% | 0.50 | 0.18 | 14.0x | 52 | 39% |
| Supertrend period=11, mult=4.7 |
11.6% | -69.8% | 0.49 | 0.17 | 14.0x | 56 | 53% |
| 볼린저 밴드 돌파 n=17, k=2.1 |
9.2% | -58.3% | 0.46 | 0.16 | 8.3x | 216 | 26% |
| ROC 모멘텀 n=91, threshold=0.11 |
8.6% | -68.4% | 0.42 | 0.13 | 7.2x | 156 | 34% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=6, mult=2.1 |
6.9% | -60.6% | 0.38 | 0.11 | 5.0x | 98 | 27% |
| ADX / DI 방향성 period=13, threshold=21 |
5.4% | -72.2% | 0.32 | 0.07 | 3.5x | 272 | 34% |
| Parabolic SAR step=0.005, maxStep=0.4 |
4.1% | -88.2% | 0.28 | 0.05 | 2.6x | 189 | 47% |
| Buy and hold | 4.1% | -96.9% | 0.31 | 0.04 | 2.7x | 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 48-day average price crosses above the 197-day average
- Sell — Sell (to cash) when the 48-day average falls below the 197-day average