Trend-Following Backtester · Guide · backtest 한국어
equity · IN
New India Assurance Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of New India Assurance Co. Ltd.. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 7.0%, MDD -28.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -7.1%, drawdown -79.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.0%, MDD -28.5%, Sharpe 0.48, 7% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 14.1%p higher than buy and hold, while drawdown improves by 50.6%p (CAGR 7.0%, MDD -28.5%, exposure 7%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=37, threshold=28 |
7.0% | -28.5% | 0.48 | 0.25 | 1.8x | 2 | 7% |
| SMA 크로스오버 fast=9, slow=102 |
6.8% | -46.5% | 0.37 | 0.15 | 1.8x | 31 | 45% |
| EMA 크로스오버 fast=28, slow=101 |
6.4% | -35.3% | 0.35 | 0.18 | 1.7x | 17 | 43% |
| Supertrend period=10, mult=3.6 |
2.9% | -58.4% | 0.25 | 0.05 | 1.3x | 35 | 49% |
| Donchian 채널 돌파 entryN=14, exitN=52 |
1.8% | -62.5% | 0.24 | 0.03 | 1.2x | 27 | 62% |
| 볼린저 밴드 돌파 n=49, k=2.6 |
1.9% | -42.1% | 0.21 | 0.04 | 1.2x | 28 | 25% |
| Parabolic SAR step=0.005, maxStep=0.12 |
1.2% | -51.7% | 0.20 | 0.02 | 1.1x | 66 | 45% |
| MACD fast=16, slow=59, signal=24 |
0.8% | -47.2% | 0.19 | 0.02 | 1.1x | 69 | 44% |
| ROC 모멘텀 n=55, threshold=-0.02 |
0.5% | -51.7% | 0.19 | 0.01 | 1.0x | 103 | 51% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=25, mult=3.9 |
1.1% | -39.5% | 0.17 | 0.03 | 1.1x | 16 | 16% |
| Buy and hold | -7.1% | -79.1% | 0.07 | -0.09 | 0.5x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 37-day) is ≥ 28
- Sell — Sell when direction flips or the trend weakens (ADX < 28)