Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Indian Oil Corp. Ltd. backtest
10 trend-following strategies were compared on the full daily history of Indian Oil Corp. Ltd.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.1%, drawdown -93.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR -0.7%, MDD -99.1%, Sharpe 0.47, 91% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 1.8%, MDD -93.8%, exposure 54%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=3, exitN=77 |
-0.7% | -99.1% | 0.47 | -0.01 | 0.8x | 129 | 91% |
| SMA 크로스오버 fast=27, slow=122 |
1.8% | -93.8% | 0.34 | 0.02 | 1.7x | 76 | 54% |
| MACD fast=10, slow=25, signal=10 |
-21.4% | -100.0% | 0.33 | -0.21 | 0.0x | 590 | 51% |
| ROC 모멘텀 n=11, threshold=-0.02 |
-21.6% | -100.0% | 0.31 | -0.22 | 0.0x | 929 | 64% |
| EMA 크로스오버 fast=63, slow=289 |
-1.4% | -97.4% | 0.24 | -0.01 | 0.7x | 28 | 53% |
| ADX / DI 방향성 period=17, threshold=20 |
-9.1% | -99.6% | 0.20 | -0.09 | 0.1x | 272 | 29% |
| Parabolic SAR step=0.05, maxStep=0.38 |
-34.5% | -100.0% | 0.19 | -0.35 | 0.0x | 1048 | 48% |
| Supertrend period=9, mult=4.7 |
-34.5% | -100.0% | 0.10 | -0.35 | 0.0x | 110 | 49% |
| 볼린저 밴드 돌파 n=43, k=2.9 |
-36.8% | -100.0% | -0.02 | -0.37 | 0.0x | 78 | 17% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=14, mult=1.9 |
-39.0% | -100.0% | -0.04 | -0.39 | 0.0x | 180 | 29% |
| Buy and hold | 7.1% | -93.9% | 0.52 | 0.08 | 8.1x | 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 3 days
- Sell — Sell when price breaks below the lowest low of the last 77 days