Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Banco Products (India) Limited backtest
10 trend-following strategies were compared on the full daily history of Banco Products (India) Limited. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 40.1%, MDD -46.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 36.2%, drawdown -78.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.3%, MDD -42.4%, Sharpe 0.57, 24% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 40.1%, MDD -46.7%, exposure 54%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 23.9%p lower than buy and hold, while drawdown improves by 36.1%p (CAGR 40.1%, MDD -46.7%, exposure 54%).
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=74, exitN=12 |
12.3% | -42.4% | 0.57 | 0.29 | 9.8x | 58 | 24% |
| SMA 크로스오버 fast=59, slow=104 |
40.1% | -46.7% | 0.51 | 0.86 | 739.7x | 39 | 54% |
| EMA 크로스오버 fast=28, slow=52 |
38.8% | -63.6% | 0.51 | 0.61 | 621.7x | 59 | 56% |
| Supertrend period=19, mult=5 |
34.2% | -69.3% | 0.48 | 0.49 | 317.5x | 41 | 56% |
| ROC 모멘텀 n=53, threshold=-0.04 |
33.8% | -69.0% | 0.48 | 0.49 | 300.2x | 229 | 63% |
| 볼린저 밴드 돌파 n=30, k=1.4 |
31.9% | -52.0% | 0.45 | 0.61 | 227.1x | 154 | 40% |
| ADX / DI 방향성 period=39, threshold=9 |
27.5% | -70.4% | 0.43 | 0.39 | 117.3x | 166 | 59% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=8, mult=0.9 |
28.1% | -59.5% | 0.42 | 0.47 | 129.4x | 150 | 42% |
| Parabolic SAR step=0.03, maxStep=0.18 |
25.4% | -63.5% | 0.41 | 0.40 | 84.3x | 482 | 48% |
| MACD fast=13, slow=25, signal=9 |
21.5% | -69.7% | 0.38 | 0.31 | 45.6x | 354 | 49% |
| Buy and hold | 36.2% | -78.5% | 0.51 | 0.46 | 427.7x | 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 74 days
- Sell — Sell when price breaks below the lowest low of the last 12 days