Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Info Edge India Ltd. backtest
10 trend-following strategies were compared on the full daily history of Info Edge India Ltd.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 19.8%, MDD -48.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 20.8%, drawdown -75.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 19.8%, MDD -48.9%, Sharpe 0.76, 64% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 26.6%p (CAGR 19.8%, MDD -48.9%, exposure 64%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=66, exitN=90 |
19.8% | -48.9% | 0.76 | 0.40 | 34.8x | 17 | 64% |
| Supertrend period=27, mult=4.9 |
19.3% | -50.4% | 0.75 | 0.38 | 32.0x | 35 | 61% |
| EMA 크로스오버 fast=24, slow=30 |
17.7% | -42.4% | 0.71 | 0.42 | 24.9x | 91 | 61% |
| Keltner 채널 돌파 emaPeriod=95, atrPeriod=25, mult=2.1 |
16.2% | -42.6% | 0.70 | 0.38 | 19.3x | 51 | 48% |
| SMA 크로스오버 fast=11, slow=192 |
16.1% | -47.6% | 0.65 | 0.34 | 18.9x | 43 | 64% |
| ROC 모멘텀 n=148, threshold=-0.02 |
15.3% | -56.9% | 0.61 | 0.27 | 16.4x | 118 | 69% |
| ADX / DI 방향성 period=28, threshold=11 |
11.1% | -56.7% | 0.51 | 0.20 | 7.9x | 167 | 62% |
| 볼린저 밴드 돌파 n=41, k=1.5 |
7.9% | -47.2% | 0.43 | 0.17 | 4.5x | 123 | 42% |
| Parabolic SAR step=0.005, maxStep=0.3 |
4.4% | -53.5% | 0.30 | 0.08 | 2.4x | 159 | 57% |
| MACD fast=17, slow=85, signal=19 |
3.9% | -48.5% | 0.28 | 0.08 | 2.1x | 203 | 52% |
| Buy and hold | 20.8% | -75.5% | 0.69 | 0.28 | 41.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 66 days
- Sell — Sell when price breaks below the lowest low of the last 90 days