Trend-Following Backtester · Guide · backtest 한국어
equity · IN
ABB India Limited backtest
10 trend-following strategies were compared on the full daily history of ABB India Limited. 2 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 32.3%, MDD -50.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 31.5%, drawdown -78.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 12.7%, MDD -35.8%, Sharpe 0.74, 30% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 34.8%, MDD -67.8%, exposure 97%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 18.8%p lower than buy and hold, while drawdown improves by 42.9%p (CAGR 32.3%, MDD -50.7%, exposure 68%).
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=58, k=2.9 |
12.7% | -35.8% | 0.74 | 0.35 | 17.8x | 50 | 30% |
| Donchian 채널 돌파 entryN=72, exitN=10 |
11.1% | -37.6% | 0.67 | 0.29 | 12.5x | 92 | 30% |
| MACD fast=14, slow=24, signal=15 |
12.5% | -47.6% | 0.62 | 0.26 | 17.2x | 331 | 48% |
| ADX / DI 방향성 period=29, threshold=17 |
8.1% | -55.4% | 0.49 | 0.15 | 6.5x | 146 | 36% |
| ROC 모멘텀 Hold-like · Exposure 97% n=8, threshold=-0.11 |
34.8% | -67.8% | 0.49 | 0.51 | 1319.8x | 89 | 97% |
| SMA 크로스오버 fast=56, slow=205 |
32.3% | -50.7% | 0.46 | 0.64 | 839.2x | 23 | 68% |
| EMA 크로스오버 fast=46, slow=149 |
30.1% | -63.1% | 0.44 | 0.48 | 564.8x | 29 | 69% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=15, mult=1.9 |
6.3% | -50.7% | 0.43 | 0.12 | 4.4x | 153 | 29% |
| Supertrend period=20, mult=3.9 |
26.4% | -58.3% | 0.41 | 0.45 | 283.9x | 81 | 61% |
| Parabolic SAR step=0.005, maxStep=0.1 |
24.7% | -53.8% | 0.39 | 0.46 | 205.2x | 191 | 56% |
| Buy and hold | 31.5% | -78.7% | 0.46 | 0.40 | 733.9x | 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 58-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 58-day middle average