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. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.5%, MDD -70.0%).

Data 2002-09-24 ~ 2026-07-31daily bars 5,922 (23.8 years)Costs 0.5%Venue NSEMonthly snapshot 2026-07-31

Results by strategy

2 of 10 beat buy and hold (CAGR 10.3%, drawdown -94.5%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.5%, MDD -78.9%, Sharpe 0.51, 82% exposure.

Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 15.6%p (CAGR 9.5%, 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=11, exitN=68
13.5%-78.9%0.510.1720.4x7282%
Supertrend
period=10, mult=4.9
10.6%-78.3%0.470.1411.0x6056%
SMA 크로스오버
fast=34, slow=197
9.5%-70.0%0.440.148.7x3756%
EMA 크로스오버
fast=28, slow=60
9.1%-73.8%0.430.127.9x8655%
ROC 모멘텀
n=113, threshold=-0.01
7.9%-78.8%0.400.106.2x20858%
ADX / DI 방향성
period=18, threshold=15
7.4%-58.3%0.390.135.5x31039%
Keltner 채널 돌파
emaPeriod=12, atrPeriod=18, mult=2
4.6%-52.1%0.340.092.9x10412%
MACD
fast=16, slow=37, signal=12
4.8%-75.0%0.310.063.1x30951%
볼린저 밴드 돌파
n=17, k=1.5
4.5%-64.7%0.300.072.8x32636%
Parabolic SAR
step=0.04, maxStep=0.12
-0.6%-90.8%0.14-0.010.9x63652%
Buy and hold10.3%-94.5%0.450.1110.4x1100%
1x 10x 2003 2006 2009 2012 2015 2018 2021 2024 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -24% -47% -71% -95% 2003 2006 2009 2012 2015 2018 2021 2024 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -78.9% (2015-08-17 → 2020-02-03), recovered after 3,074 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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