Trend-Following Backtester · Guide · backtest 한국어
equity · IN
IRB Infrastructure Developers Limited backtest
10 trend-following strategies were compared on the full daily history of IRB Infrastructure Developers Limited. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 8.4%, MDD -31.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR 4.1%, drawdown -84.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 14.8%, MDD -36.5%, Sharpe 0.68, 24% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.7%p higher than buy and hold, while drawdown improves by 48.0%p (CAGR 8.4%, MDD -31.6%, exposure 10%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=143, threshold=0.23 |
14.8% | -36.5% | 0.68 | 0.41 | 12.8x | 60 | 24% |
| 볼린저 밴드 돌파 n=36, k=3.1 |
10.3% | -44.6% | 0.59 | 0.23 | 6.1x | 32 | 13% |
| ADX / DI 방향성 period=23, threshold=25 |
8.4% | -31.6% | 0.54 | 0.27 | 4.4x | 30 | 10% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=19, mult=3.1 |
9.9% | -51.5% | 0.52 | 0.19 | 5.7x | 40 | 19% |
| EMA 크로스오버 fast=54, slow=333 |
8.0% | -70.8% | 0.41 | 0.11 | 4.2x | 20 | 49% |
| SMA 크로스오버 fast=49, slow=159 |
7.5% | -77.4% | 0.39 | 0.10 | 3.8x | 30 | 43% |
| MACD fast=18, slow=55, signal=6 |
6.8% | -64.6% | 0.37 | 0.11 | 3.4x | 288 | 49% |
| Donchian 채널 돌파 entryN=16, exitN=18 |
4.2% | -79.8% | 0.29 | 0.05 | 2.1x | 118 | 51% |
| Parabolic SAR step=0.02, maxStep=0.18 |
2.7% | -82.0% | 0.25 | 0.03 | 1.6x | 355 | 51% |
| Supertrend period=25, mult=2.1 |
2.5% | -79.1% | 0.24 | 0.03 | 1.6x | 196 | 44% |
| Buy and hold | 4.1% | -84.5% | 0.33 | 0.05 | 2.1x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 143-day return is greater than 23%
- Sell — Sell when the 143-day return drops to 23% or below