Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Bank of India backtest
10 trend-following strategies were compared on the full daily history of Bank of India. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 12.4%, MDD -56.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR 5.8%, drawdown -94.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 12.4%, MDD -56.9%, Sharpe 0.64, 23% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.6%p higher than buy and hold, while drawdown improves by 37.7%p (CAGR 12.4%, MDD -56.9%, exposure 23%).
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=12, k=2.1 |
12.4% | -56.9% | 0.64 | 0.22 | 16.9x | 224 | 23% |
| MACD fast=15, slow=27, signal=15 |
12.3% | -71.7% | 0.52 | 0.17 | 16.2x | 306 | 51% |
| SMA 크로스오버 fast=53, slow=193 |
8.9% | -60.5% | 0.42 | 0.15 | 7.9x | 30 | 54% |
| EMA 크로스오버 fast=52, slow=187 |
8.0% | -69.6% | 0.39 | 0.11 | 6.3x | 29 | 53% |
| Supertrend period=18, mult=1.2 |
7.7% | -72.0% | 0.39 | 0.11 | 6.0x | 500 | 48% |
| Donchian 채널 돌파 entryN=61, exitN=77 |
6.8% | -78.7% | 0.36 | 0.09 | 4.9x | 33 | 57% |
| Parabolic SAR step=0.01, maxStep=0.1 |
5.9% | -69.8% | 0.34 | 0.08 | 4.0x | 305 | 49% |
| ROC 모멘텀 n=87, threshold=-0.04 |
4.9% | -72.2% | 0.31 | 0.07 | 3.2x | 258 | 59% |
| ADX / DI 방향성 period=9, threshold=37 |
3.2% | -47.3% | 0.26 | 0.07 | 2.1x | 160 | 14% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=33, mult=2.2 |
2.6% | -59.9% | 0.23 | 0.04 | 1.8x | 106 | 33% |
| Buy and hold | 5.8% | -94.6% | 0.35 | 0.06 | 3.9x | 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 12-day average (2.1× volatility)
- Sell — Sell when the close falls back to the 12-day middle average