Trend-Following Backtester · Guide · backtest 한국어
etf · GB
India Capital Growth Fund Limited backtest
10 trend-following strategies were compared on the full daily history of India Capital Growth Fund Limited. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 9.5%, MDD -15.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR 2.6%, drawdown -83.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 9.5%, MDD -15.2%, Sharpe 0.88, 18% exposure.
CAGR reference leader: Supertrend — CAGR 14.8%, MDD -30.8%, exposure 57%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.9%p higher than buy and hold, while drawdown improves by 68.1%p (CAGR 9.5%, MDD -15.2%, exposure 18%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=33, k=2.9 |
9.5% | -15.2% | 0.88 | 0.62 | 6.4x | 46 | 18% |
| Supertrend period=24, mult=2.7 |
14.8% | -30.8% | 0.88 | 0.48 | 17.3x | 119 | 57% |
| ADX / DI 방향성 period=31, threshold=12 |
10.2% | -32.1% | 0.80 | 0.32 | 7.4x | 151 | 41% |
| Donchian 채널 돌파 entryN=97, exitN=14 |
8.6% | -21.7% | 0.77 | 0.39 | 5.4x | 47 | 27% |
| Parabolic SAR step=0.05, maxStep=0.1 |
12.7% | -46.2% | 0.77 | 0.28 | 11.8x | 493 | 54% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=21, mult=1.1 |
10.5% | -36.9% | 0.72 | 0.28 | 7.8x | 101 | 46% |
| MACD fast=18, slow=57, signal=14 |
12.0% | -48.3% | 0.71 | 0.25 | 10.3x | 202 | 50% |
| EMA 크로스오버 fast=47, slow=81 |
11.3% | -35.3% | 0.71 | 0.32 | 9.0x | 37 | 54% |
| SMA 크로스오버 fast=27, slow=125 |
10.5% | -41.0% | 0.66 | 0.26 | 7.9x | 43 | 53% |
| ROC 모멘텀 n=87, threshold=0.13 |
7.1% | -27.5% | 0.65 | 0.26 | 4.1x | 111 | 29% |
| Buy and hold | 2.6% | -83.3% | 0.23 | 0.03 | 1.7x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 33-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 33-day middle average