Trend-Following Backtester · Guide · backtest 한국어
equity · IN
NBCC (INDIA) LIMITED backtest
10 trend-following strategies were compared on the full daily history of NBCC (INDIA) LIMITED. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 22.0%, MDD -31.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR 23.1%, drawdown -89.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 22.0%, MDD -31.5%, Sharpe 0.92, 20% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 29.3%, MDD -46.9%, exposure 55%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 57.7%p (CAGR 22.0%, MDD -31.5%, exposure 20%).
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=26, k=2.8 |
22.0% | -31.5% | 0.92 | 0.70 | 17.6x | 44 | 20% |
| SMA 크로스오버 fast=6, slow=105 |
29.3% | -46.9% | 0.92 | 0.62 | 40.4x | 54 | 55% |
| ADX / DI 방향성 period=49, threshold=27 |
18.1% | -35.2% | 0.92 | 0.52 | 11.0x | 6 | 9% |
| EMA 크로스오버 fast=6, slow=107 |
26.7% | -47.5% | 0.86 | 0.56 | 30.0x | 64 | 56% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=22, mult=1.1 |
25.4% | -53.0% | 0.85 | 0.48 | 25.9x | 100 | 47% |
| ROC 모멘텀 n=101, threshold=0.14 |
23.9% | -47.7% | 0.84 | 0.50 | 21.8x | 100 | 40% |
| MACD fast=19, slow=29, signal=17 |
24.3% | -41.9% | 0.82 | 0.58 | 22.9x | 148 | 49% |
| Donchian 채널 돌파 entryN=95, exitN=53 |
23.6% | -54.2% | 0.81 | 0.44 | 21.1x | 22 | 47% |
| Supertrend period=10, mult=1.7 |
23.4% | -47.3% | 0.80 | 0.50 | 20.6x | 194 | 53% |
| Parabolic SAR step=0.02, maxStep=0.14 |
23.3% | -45.8% | 0.79 | 0.51 | 20.3x | 262 | 53% |
| Buy and hold | 23.1% | -89.3% | 0.69 | 0.26 | 19.9x | 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 26-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 26-day middle average