Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Karnataka Bank Ltd. backtest
10 trend-following strategies were compared on the full daily history of Karnataka Bank Ltd.. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 12.8%, MDD -59.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR 12.2%, drawdown -81.7%).
Sharpe leader (same as main): Supertrend — CAGR 20.8%, MDD -63.4%, Sharpe 0.74, 49% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 8.6%p higher than buy and hold, while drawdown improves by 18.3%p (CAGR 12.8%, MDD -59.7%, exposure 41%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=23, mult=3.2 |
20.8% | -63.4% | 0.74 | 0.33 | 144.5x | 135 | 49% |
| SMA 크로스오버 fast=10, slow=42 |
16.1% | -63.8% | 0.61 | 0.25 | 50.7x | 177 | 52% |
| EMA 크로스오버 fast=8, slow=64 |
14.6% | -60.0% | 0.57 | 0.24 | 36.0x | 149 | 53% |
| Parabolic SAR step=0.005, maxStep=0.1 |
14.1% | -68.3% | 0.56 | 0.21 | 32.5x | 203 | 49% |
| ADX / DI 방향성 period=13, threshold=20 |
13.3% | -71.3% | 0.55 | 0.19 | 26.8x | 359 | 39% |
| Donchian 채널 돌파 entryN=33, exitN=70 |
14.4% | -73.7% | 0.55 | 0.19 | 34.1x | 57 | 67% |
| 볼린저 밴드 돌파 n=26, k=1.2 |
12.8% | -59.7% | 0.54 | 0.21 | 23.9x | 293 | 41% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=24, mult=2.2 |
12.3% | -61.4% | 0.53 | 0.20 | 21.2x | 109 | 37% |
| MACD fast=16, slow=59, signal=16 |
11.9% | -78.9% | 0.50 | 0.15 | 19.3x | 277 | 51% |
| ROC 모멘텀 n=77, threshold=-0.03 |
9.2% | -81.1% | 0.43 | 0.11 | 10.2x | 301 | 58% |
| Buy and hold | 12.2% | -81.7% | 0.49 | 0.15 | 20.5x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 23-day volatility, 3.2× band
- Sell — Sell when price drops below the trend line (flips down)