Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Angel One Limited backtest
10 trend-following strategies were compared on the full daily history of Angel One 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 56.2%, MDD -37.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 50.4%, drawdown -48.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 56.2%, MDD -37.4%, Sharpe 1.24, 72% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 5.8%p higher than buy and hold, while drawdown improves by 11.3%p (CAGR 56.2%, MDD -37.4%, exposure 72%).
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=15, exitN=28 |
56.2% | -37.4% | 1.24 | 1.50 | 13.4x | 20 | 72% |
| SMA 크로스오버 fast=8, slow=66 |
45.9% | -41.0% | 1.16 | 1.12 | 9.0x | 30 | 56% |
| Supertrend period=16, mult=2.8 |
45.1% | -48.9% | 1.15 | 0.92 | 8.7x | 42 | 52% |
| 볼린저 밴드 돌파 n=16, k=1.6 |
38.0% | -37.1% | 1.11 | 1.02 | 6.5x | 76 | 38% |
| ROC 모멘텀 n=40, threshold=0 |
42.5% | -38.9% | 1.09 | 1.09 | 7.8x | 82 | 56% |
| EMA 크로스오버 fast=15, slow=57 |
39.6% | -40.5% | 1.04 | 0.98 | 7.0x | 22 | 59% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=15, mult=1.3 |
32.3% | -43.5% | 0.99 | 0.74 | 5.1x | 60 | 38% |
| MACD fast=18, slow=45, signal=17 |
33.4% | -36.3% | 0.97 | 0.92 | 5.3x | 50 | 46% |
| ADX / DI 방향성 period=18, threshold=34 |
19.7% | -22.7% | 0.97 | 0.87 | 2.8x | 14 | 13% |
| Parabolic SAR step=0.01, maxStep=0.16 |
33.7% | -55.0% | 0.95 | 0.61 | 5.4x | 74 | 49% |
| Buy and hold | 50.4% | -48.7% | 1.05 | 1.04 | 10.7x | 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 15 days
- Sell — Sell when price breaks below the lowest low of the last 28 days