Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Max Financial Services Limited backtest
10 trend-following strategies were compared on the full daily history of Max Financial Services Limited. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 9.6%, MDD -44.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 12.1%, drawdown -94.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.6%, MDD -44.5%, Sharpe 0.53, 11% exposure.
CAGR reference leader: MACD — CAGR 15.0%, MDD -82.6%, exposure 49%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.5%p lower than buy and hold, while drawdown improves by 50.0%p (CAGR 9.6%, MDD -44.5%, exposure 11%).
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=11, threshold=0.12 |
9.6% | -44.5% | 0.53 | 0.21 | 16.3x | 344 | 11% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=10, mult=3.3 |
5.8% | -24.3% | 0.51 | 0.24 | 5.6x | 20 | 3% |
| 볼린저 밴드 돌파 n=35, k=2.7 |
7.1% | -82.0% | 0.44 | 0.09 | 8.0x | 114 | 22% |
| Supertrend period=26, mult=2.7 |
7.9% | -89.9% | 0.44 | 0.09 | 10.2x | 196 | 49% |
| ADX / DI 방향성 period=37, threshold=14 |
6.9% | -85.6% | 0.42 | 0.08 | 7.6x | 154 | 34% |
| Parabolic SAR step=0.025, maxStep=0.3 |
8.4% | -83.8% | 0.41 | 0.10 | 11.8x | 743 | 51% |
| EMA 크로스오버 fast=19, slow=61 |
5.5% | -82.1% | 0.38 | 0.07 | 5.2x | 140 | 53% |
| SMA 크로스오버 fast=45, slow=191 |
4.5% | -90.6% | 0.36 | 0.05 | 3.9x | 42 | 55% |
| Donchian 채널 돌파 entryN=29, exitN=29 |
4.8% | -82.0% | 0.35 | 0.06 | 4.2x | 106 | 53% |
| MACD fast=9, slow=24, signal=7 |
15.0% | -82.6% | 0.34 | 0.18 | 72.2x | 702 | 49% |
| Buy and hold | 12.1% | -94.5% | 0.39 | 0.13 | 32.7x | 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 11-day return is greater than 12%
- Sell — Sell when the 11-day return drops to 12% or below