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 2.5%, MDD -14.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR -0.6%, drawdown -50.2%).
Sharpe leader (same as main): Supertrend — CAGR 9.0%, MDD -33.6%, Sharpe 0.55, 43% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 9.5%p higher than buy and hold, while drawdown improves by 16.6%p (CAGR 2.5%, 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 |
9.0% | -33.6% | 0.55 | 0.27 | 1.7x | 27 | 43% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=22, mult=1.5 |
6.8% | -19.4% | 0.52 | 0.35 | 1.5x | 41 | 27% |
| 볼린저 밴드 돌파 n=42, k=1.4 |
6.9% | -24.9% | 0.49 | 0.28 | 1.5x | 33 | 34% |
| EMA 크로스오버 fast=16, slow=23 |
6.6% | -27.4% | 0.44 | 0.24 | 1.5x | 35 | 44% |
| Donchian 채널 돌파 entryN=29, exitN=67 |
5.5% | -38.5% | 0.36 | 0.14 | 1.4x | 15 | 59% |
| ROC 모멘텀 n=23, threshold=0.14 |
2.5% | -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 | 41% |
| 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 |
-2.3% | -48.8% | -0.02 | -0.05 | 0.9x | 81 | 50% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-3.2% | -45.4% | -0.08 | -0.07 | 0.8x | 57 | 46% |
| Buy and hold | -0.6% | -50.2% | 0.13 | -0.01 | 1.0x | 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)