Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Union Bank of India Limited backtest
10 trend-following strategies were compared on the full daily history of Union Bank of India Limited. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.9%, MDD -70.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 10.7%, drawdown -94.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.6%, MDD -78.9%, Sharpe 0.52, 82% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 15.6%p (CAGR 9.9%, MDD -70.0%, exposure 56%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=11, exitN=68 |
13.6% | -78.9% | 0.52 | 0.17 | 21.0x | 73 | 82% |
| Supertrend period=10, mult=4.9 |
10.7% | -78.3% | 0.47 | 0.14 | 11.3x | 61 | 56% |
| SMA 크로스오버 fast=34, slow=197 |
9.9% | -70.0% | 0.45 | 0.14 | 9.6x | 37 | 56% |
| EMA 크로스오버 fast=28, slow=60 |
9.4% | -73.8% | 0.44 | 0.13 | 8.6x | 87 | 55% |
| ROC 모멘텀 n=113, threshold=-0.01 |
7.9% | -78.8% | 0.40 | 0.10 | 6.2x | 209 | 58% |
| ADX / DI 방향성 period=18, threshold=15 |
7.5% | -58.3% | 0.39 | 0.13 | 5.6x | 311 | 39% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=18, mult=2 |
4.6% | -52.1% | 0.34 | 0.09 | 2.9x | 104 | 12% |
| MACD fast=16, slow=37, signal=12 |
5.3% | -75.0% | 0.32 | 0.07 | 3.4x | 309 | 51% |
| 볼린저 밴드 돌파 n=17, k=1.5 |
4.6% | -64.7% | 0.30 | 0.07 | 3.0x | 328 | 36% |
| Parabolic SAR step=0.04, maxStep=0.12 |
-0.4% | -90.8% | 0.14 | -0.00 | 0.9x | 639 | 52% |
| Buy and hold | 10.7% | -94.5% | 0.45 | 0.11 | 11.5x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 11 days
- Sell — Sell when price breaks below the lowest low of the last 68 days