Trend-Following Backtester · Guide · backtest 한국어

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PNB Housing Finance Limited backtest

10 trend-following strategies were compared on the full daily history of PNB Housing Finance Limited. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 16.2%, MDD -24.6%).

Data 2016-11-07 ~ 2026-07-31daily bars 2,409 (9.7 years)Costs 0.5%Venue NSEMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR 3.7%, drawdown -91.2%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 21.5%, MDD -36.8%, Sharpe 0.79, 52% exposure.

Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 17.9%p higher than buy and hold, while drawdown improves by 54.4%p (CAGR 16.2%, MDD -24.6%, exposure 32%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=41, exitN=47
21.5%-36.8%0.790.596.7x1952%
ROC 모멘텀
n=48, threshold=0.04
19.5%-54.4%0.770.365.7x11845%
볼린저 밴드 돌파
n=57, k=2.3
16.2%-24.6%0.750.664.3x2232%
SMA 크로스오버
fast=10, slow=60
18.7%-63.5%0.720.295.3x3751%
EMA 크로스오버
fast=28, slow=33
17.6%-55.8%0.690.324.9x3151%
Keltner 채널 돌파
emaPeriod=43, atrPeriod=27, mult=2.1
13.2%-40.6%0.610.323.3x4436%
Supertrend
period=26, mult=2.8
13.3%-50.8%0.570.263.4x6349%
ADX / DI 방향성
period=17, threshold=11
8.9%-63.7%0.430.142.3x14451%
MACD
fast=6, slow=29, signal=10
6.9%-71.4%0.370.101.9x21449%
Parabolic SAR
step=0.035, maxStep=0.1
6.6%-67.9%0.360.101.9x21450%
Buy and hold3.7%-91.2%0.310.041.4x1100%
1x 2017 2019 2021 2023 2025 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -23% -46% -68% -91% 2017 2019 2021 2023 2025 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -36.8% (2024-09-13 → 2026-04-13), prior peak not yet recovered.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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