Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Kotak Mahindra Bank Limited backtest
10 trend-following strategies were compared on the full daily history of Kotak Mahindra Bank Limited. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 30.9%, drawdown -84.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 28.9%, MDD -85.3%, Sharpe 0.49, 88% exposure.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=82, threshold=-0.11 |
28.9% | -85.3% | 0.49 | 0.34 | 600.0x | 133 | 88% |
| Donchian 채널 돌파 entryN=8, exitN=44 |
26.3% | -81.7% | 0.48 | 0.32 | 353.6x | 91 | 86% |
| SMA 크로스오버 fast=8, slow=100 |
23.2% | -80.2% | 0.45 | 0.29 | 188.9x | 105 | 67% |
| EMA 크로스오버 fast=36, slow=64 |
22.4% | -84.4% | 0.45 | 0.27 | 160.9x | 69 | 69% |
| Supertrend period=9, mult=2.7 |
16.5% | -82.3% | 0.41 | 0.20 | 47.1x | 165 | 59% |
| MACD fast=19, slow=39, signal=21 |
13.1% | -80.2% | 0.38 | 0.16 | 22.2x | 287 | 51% |
| 볼린저 밴드 돌파 n=42, k=1 |
12.7% | -81.8% | 0.38 | 0.16 | 20.3x | 229 | 50% |
| ADX / DI 방향성 period=35, threshold=11 |
12.4% | -81.3% | 0.35 | 0.15 | 19.1x | 195 | 46% |
| Parabolic SAR step=0.01, maxStep=0.2 |
6.5% | -82.0% | 0.34 | 0.08 | 4.9x | 331 | 54% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=21, mult=3 |
5.9% | -96.4% | 0.32 | 0.06 | 4.2x | 85 | 35% |
| Buy and hold | 30.9% | -84.5% | 0.51 | 0.37 | 868.5x | 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 82-day return is greater than -11%
- Sell — Sell when the 82-day return drops to -11% or below