Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Minda Corp. Ltd. backtest
10 trend-following strategies were compared on the full daily history of Minda Corp. Ltd.. 1 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 45.7%, MDD -47.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 43.7%, drawdown -75.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 12.9%, MDD -17.6%, Sharpe 1.39, 5% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 45.7%, MDD -47.8%, exposure 65%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 30.8%p lower than buy and hold, while drawdown improves by 58.1%p (CAGR 45.7%, MDD -47.8%, exposure 65%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=11, k=3 |
12.9% | -17.6% | 1.39 | 0.74 | 5.8x | 10 | 5% |
| Donchian 채널 돌파 entryN=76, exitN=67 |
45.7% | -47.8% | 1.31 | 0.96 | 230.3x | 13 | 65% |
| ADX / DI 방향성 period=27, threshold=31 |
20.6% | -26.8% | 1.29 | 0.77 | 15.0x | 10 | 12% |
| ROC 모멘텀 n=117, threshold=0.1 |
37.1% | -43.9% | 1.19 | 0.84 | 95.2x | 85 | 56% |
| EMA 크로스오버 fast=30, slow=38 |
38.6% | -44.9% | 1.18 | 0.86 | 112.1x | 43 | 62% |
| SMA 크로스오버 fast=34, slow=55 |
37.1% | -43.9% | 1.15 | 0.85 | 95.5x | 69 | 60% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=13, mult=4 |
22.1% | -38.9% | 1.12 | 0.57 | 17.9x | 22 | 22% |
| Supertrend period=28, mult=4.9 |
34.1% | -47.6% | 1.10 | 0.72 | 69.4x | 41 | 55% |
| Parabolic SAR step=0.005, maxStep=0.08 |
20.5% | -71.6% | 0.76 | 0.29 | 14.8x | 106 | 54% |
| MACD fast=24, slow=59, signal=20 |
18.9% | -68.5% | 0.74 | 0.28 | 12.2x | 130 | 48% |
| Buy and hold | 43.7% | -75.6% | 1.07 | 0.58 | 189.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 11-day average (3× volatility)
- Sell — Sell when the close falls back to the 11-day middle average