Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Axis Bank Limited backtest
10 trend-following strategies were compared on the full daily history of Axis Bank Limited. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 18.2%, MDD -52.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 23.7%, drawdown -77.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 18.2%, MDD -52.1%, Sharpe 0.68, 68% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 5.5%p lower than buy and hold, while drawdown improves by 25.7%p (CAGR 18.2%, MDD -52.1%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=38, slow=127 |
18.2% | -52.1% | 0.68 | 0.35 | 102.3x | 49 | 68% |
| SMA 크로스오버 fast=6, slow=181 |
17.4% | -57.5% | 0.67 | 0.30 | 84.7x | 88 | 66% |
| Supertrend period=17, mult=4.5 |
16.9% | -45.7% | 0.66 | 0.37 | 75.1x | 88 | 59% |
| ROC 모멘텀 n=138, threshold=-0.06 |
16.8% | -65.3% | 0.63 | 0.26 | 74.2x | 203 | 75% |
| Donchian 채널 돌파 entryN=12, exitN=75 |
17.8% | -77.7% | 0.62 | 0.23 | 92.3x | 67 | 89% |
| 볼린저 밴드 돌파 n=57, k=1.5 |
14.4% | -37.1% | 0.62 | 0.39 | 41.2x | 144 | 47% |
| ADX / DI 방향성 period=34, threshold=13 |
12.7% | -53.9% | 0.56 | 0.24 | 27.2x | 182 | 46% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=13, mult=1.5 |
11.7% | -53.8% | 0.53 | 0.22 | 21.3x | 182 | 48% |
| Parabolic SAR step=0.02, maxStep=0.02 |
12.0% | -70.7% | 0.52 | 0.17 | 23.0x | 174 | 60% |
| MACD fast=16, slow=53, signal=24 |
9.9% | -62.4% | 0.47 | 0.16 | 13.7x | 272 | 51% |
| Buy and hold | 23.7% | -77.8% | 0.71 | 0.30 | 359.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 38-day EMA crosses above the 127-day EMA
- Sell — Sell when the 38-day EMA falls below the 127-day EMA