Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Affle 3i Limited backtest
10 trend-following strategies were compared on the full daily history of Affle 3i Limited. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 38.7%, MDD -39.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 36.7%, drawdown -58.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 38.7%, MDD -39.5%, Sharpe 1.09, 78% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 18.8%p (CAGR 38.7%, MDD -39.5%, exposure 78%).
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=48 |
38.7% | -39.5% | 1.09 | 0.98 | 10.1x | 23 | 78% |
| Supertrend period=10, mult=4.8 |
35.8% | -41.1% | 1.08 | 0.87 | 8.7x | 17 | 64% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=21, mult=1.1 |
28.4% | -29.0% | 1.04 | 0.98 | 5.9x | 66 | 37% |
| 볼린저 밴드 돌파 n=18, k=2.1 |
25.1% | -26.7% | 0.97 | 0.94 | 4.9x | 66 | 33% |
| SMA 크로스오버 fast=9, slow=87 |
27.9% | -39.3% | 0.95 | 0.71 | 5.7x | 25 | 58% |
| MACD fast=16, slow=39, signal=22 |
26.0% | -36.3% | 0.95 | 0.72 | 5.1x | 66 | 49% |
| EMA 크로스오버 fast=33, slow=43 |
26.0% | -48.0% | 0.87 | 0.54 | 5.1x | 23 | 61% |
| ROC 모멘텀 n=46, threshold=0.03 |
22.9% | -36.6% | 0.82 | 0.63 | 4.3x | 83 | 50% |
| Parabolic SAR step=0.03, maxStep=0.22 |
20.5% | -49.1% | 0.78 | 0.42 | 3.7x | 180 | 51% |
| ADX / DI 방향성 period=12, threshold=31 |
15.3% | -23.4% | 0.74 | 0.65 | 2.7x | 48 | 22% |
| Buy and hold | 36.7% | -58.3% | 0.98 | 0.63 | 9.1x | 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 48 days