Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Bharti Airtel Limited backtest
10 trend-following strategies were compared on the full daily history of Bharti Airtel Limited. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 18.3%, MDD -30.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 22.2%, drawdown -56.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 21.4%, MDD -50.0%, Sharpe 0.83, 67% exposure.
Return/drawdown alternative: Supertrend — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 6.9%p (CAGR 18.3%, MDD -30.9%, exposure 56%).
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=52, exitN=59 |
21.4% | -50.0% | 0.83 | 0.43 | 106.0x | 31 | 67% |
| Supertrend period=27, mult=4.9 |
18.3% | -30.9% | 0.78 | 0.59 | 56.7x | 48 | 56% |
| SMA 크로스오버 fast=18, slow=132 |
19.2% | -52.2% | 0.78 | 0.37 | 68.5x | 51 | 64% |
| EMA 크로스오버 fast=43, slow=139 |
19.7% | -66.5% | 0.78 | 0.30 | 76.1x | 30 | 68% |
| 볼린저 밴드 돌파 n=75, k=1.7 |
16.2% | -43.4% | 0.76 | 0.37 | 37.0x | 75 | 47% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=23, mult=2.6 |
11.3% | -51.7% | 0.62 | 0.22 | 13.2x | 80 | 35% |
| ADX / DI 방향성 period=39, threshold=11 |
12.4% | -60.9% | 0.61 | 0.20 | 16.7x | 185 | 45% |
| ROC 모멘텀 n=95, threshold=0 |
13.7% | -69.6% | 0.60 | 0.20 | 21.9x | 207 | 65% |
| MACD fast=38, slow=59, signal=39 |
10.2% | -79.7% | 0.51 | 0.13 | 10.4x | 137 | 53% |
| Parabolic SAR step=0.01, maxStep=0.34 |
3.5% | -76.5% | 0.26 | 0.05 | 2.3x | 339 | 54% |
| Buy and hold | 22.2% | -56.9% | 0.75 | 0.39 | 125.1x | 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 52 days
- Sell — Sell when price breaks below the lowest low of the last 59 days