Trend-Following Backtester · Guide · backtest 한국어
equity · IN
SBI Cards & Payment Services Ltd backtest
10 trend-following strategies were compared on the full daily history of SBI Cards & Payment Services Ltd. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 2.4%, MDD -14.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR -0.9%, drawdown -50.2%).
Sharpe leader (same as main): Supertrend — CAGR 8.4%, MDD -33.6%, Sharpe 0.52, 44% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 9.4%p higher than buy and hold, while drawdown improves by 16.6%p (CAGR 2.4%, MDD -14.2%, 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=28, mult=3.4 |
8.4% | -33.6% | 0.52 | 0.25 | 1.7x | 27 | 44% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=22, mult=1.5 |
6.2% | -19.4% | 0.48 | 0.32 | 1.5x | 42 | 27% |
| EMA 크로스오버 fast=16, slow=23 |
6.1% | -27.4% | 0.41 | 0.22 | 1.5x | 35 | 45% |
| 볼린저 밴드 돌파 n=42, k=1.4 |
5.6% | -24.9% | 0.41 | 0.22 | 1.4x | 34 | 34% |
| Donchian 채널 돌파 entryN=29, exitN=67 |
5.1% | -38.5% | 0.34 | 0.13 | 1.4x | 15 | 60% |
| ROC 모멘텀 n=23, threshold=0.14 |
2.4% | -14.2% | 0.32 | 0.17 | 1.2x | 40 | 7% |
| SMA 크로스오버 fast=6, slow=167 |
1.5% | -32.1% | 0.17 | 0.05 | 1.1x | 16 | 40% |
| ADX / DI 방향성 period=10, threshold=33 |
0.3% | -22.8% | 0.08 | 0.01 | 1.0x | 40 | 16% |
| MACD fast=16, slow=27, signal=17 |
-3.0% | -48.8% | -0.06 | -0.06 | 0.8x | 82 | 50% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-4.3% | -45.4% | -0.14 | -0.09 | 0.8x | 58 | 46% |
| Buy and hold | -0.9% | -50.2% | 0.12 | -0.02 | 0.9x | 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) — 28-day volatility, 3.4× band
- Sell — Sell when price drops below the trend line (flips down)