Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Ujjivan Small Finance Bank Ltd. backtest
10 trend-following strategies were compared on the full daily history of Ujjivan Small Finance Bank Ltd.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.0%, MDD -15.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR 3.7%, drawdown -76.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 21.8%, MDD -29.5%, Sharpe 0.87, 48% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 18.1%p higher than buy and hold, while drawdown improves by 47.1%p (CAGR 5.0%, MDD -15.6%, exposure 5%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=38, slow=209 |
21.8% | -29.5% | 0.87 | 0.74 | 3.7x | 5 | 48% |
| EMA 크로스오버 fast=57, slow=140 |
21.1% | -29.5% | 0.83 | 0.71 | 3.6x | 5 | 49% |
| Donchian 채널 돌파 entryN=57, exitN=16 |
17.2% | -26.8% | 0.82 | 0.64 | 2.9x | 13 | 30% |
| ROC 모멘텀 n=152, threshold=-0.01 |
20.9% | -32.1% | 0.82 | 0.65 | 3.5x | 19 | 51% |
| 볼린저 밴드 돌파 n=27, k=1.2 |
17.5% | -32.1% | 0.73 | 0.55 | 2.9x | 51 | 38% |
| Supertrend period=28, mult=2.2 |
16.2% | -42.1% | 0.65 | 0.39 | 2.7x | 55 | 52% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=19, mult=3.5 |
11.3% | -26.8% | 0.62 | 0.42 | 2.0x | 15 | 27% |
| ADX / DI 방향성 period=31, threshold=35 |
5.0% | -15.6% | 0.56 | 0.32 | 1.4x | 2 | 5% |
| MACD fast=23, slow=49, signal=12 |
12.6% | -47.0% | 0.55 | 0.27 | 2.2x | 59 | 50% |
| Parabolic SAR step=0.05, maxStep=0.32 |
8.2% | -49.4% | 0.41 | 0.17 | 1.7x | 219 | 49% |
| Buy and hold | 3.7% | -76.6% | 0.30 | 0.05 | 1.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 38-day average price crosses above the 209-day average
- Sell — Sell (to cash) when the 38-day average falls below the 209-day average