Trend-Following Backtester · Guide · backtest 한국어
equity · IN
RBL Bank Ltd. backtest
10 trend-following strategies were compared on the full daily history of RBL Bank Ltd.. 9 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 6.8%, MDD -38.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR 2.3%, drawdown -89.0%).
Sharpe leader (same as main): Supertrend — CAGR 15.8%, MDD -44.5%, Sharpe 0.70, 48% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 13.6%p higher than buy and hold, while drawdown improves by 44.5%p (CAGR 6.8%, MDD -38.1%, exposure 26%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=19, mult=4.6 |
15.8% | -44.5% | 0.70 | 0.36 | 4.3x | 23 | 48% |
| Donchian 채널 돌파 entryN=46, exitN=72 |
15.0% | -44.7% | 0.64 | 0.33 | 4.0x | 17 | 55% |
| 볼린저 밴드 돌파 n=58, k=1.8 |
12.0% | -41.5% | 0.62 | 0.29 | 3.1x | 32 | 35% |
| EMA 크로스오버 fast=19, slow=27 |
12.2% | -38.6% | 0.55 | 0.31 | 3.1x | 53 | 55% |
| SMA 크로스오버 fast=23, slow=60 |
11.8% | -50.0% | 0.54 | 0.24 | 3.0x | 43 | 54% |
| MACD fast=30, slow=89, signal=22 |
10.7% | -51.4% | 0.49 | 0.21 | 2.7x | 58 | 50% |
| ADX / DI 방향성 period=19, threshold=15 |
9.6% | -44.4% | 0.49 | 0.22 | 2.5x | 104 | 40% |
| ROC 모멘텀 n=79, threshold=0.06 |
9.1% | -44.0% | 0.48 | 0.21 | 2.4x | 87 | 44% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=22, mult=3.4 |
6.8% | -38.1% | 0.46 | 0.18 | 1.9x | 24 | 26% |
| Parabolic SAR step=0.015, maxStep=0.1 |
-1.9% | -62.1% | 0.09 | -0.03 | 0.8x | 169 | 54% |
| Buy and hold | 2.3% | -89.0% | 0.28 | 0.03 | 1.2x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 19-day volatility, 4.6× band
- Sell — Sell when price drops below the trend line (flips down)