Trend-Following Backtester · Guide · backtest 한국어

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L&T Finance Ltd backtest

10 trend-following strategies were compared on the full daily history of L&T Finance Ltd. 1 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 13.3%, MDD -33.3%).

Data 2011-08-12 ~ 2026-07-31daily bars 3,691 (15.0 years)Costs 0.5%Venue NSEMonthly snapshot 2026-07-31

Results by strategy

1 of 10 beat buy and hold (CAGR 13.5%, drawdown -77.0%).

Sharpe leader (same as main): MACD — CAGR 16.8%, MDD -46.4%, Sharpe 0.73, 51% exposure.

Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 30.7%p (CAGR 13.3%, MDD -33.3%, exposure 42%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
MACD
fast=18, slow=24, signal=18
16.8%-46.4%0.730.3610.3x16651%
볼린저 밴드 돌파
n=30, k=1.3
13.3%-33.3%0.660.406.5x12642%
ROC 모멘텀
n=188, threshold=0.09
13.0%-44.0%0.640.306.2x4744%
Keltner 채널 돌파
emaPeriod=27, atrPeriod=19, mult=2
10.3%-45.9%0.580.224.3x8031%
ADX / DI 방향성
period=17, threshold=32
6.7%-23.6%0.540.282.6x3612%
Donchian 채널 돌파
entryN=117, exitN=38
8.9%-55.3%0.510.163.6x2332%
SMA 크로스오버
fast=59, slow=159
10.7%-74.4%0.510.144.6x2951%
Supertrend
period=28, mult=2
6.8%-55.2%0.390.122.7x17452%
EMA 크로스오버
fast=17, slow=212
6.8%-67.1%0.380.102.7x3757%
Parabolic SAR
step=0.01, maxStep=0.28
6.2%-54.5%0.360.112.5x19655%
Buy and hold13.5%-77.0%0.530.186.7x1100%
1x 10x 2012 2014 2016 2018 2020 2022 2024 2026 MACDBuy and hold
MACD: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -19% -39% -58% -77% 2012 2014 2016 2018 2020 2022 2024 2026 Buy and holdMACD
MACD maximum drawdown -46.4% (2019-06-04 → 2019-10-04), recovered after 548 days.

Rules of the top strategy

Looks at the gap (MACD) between a short and long average crossing its own signal line.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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