Trend-Following Backtester · Guide · backtest 한국어
equity · IN
BSE Ltd. backtest
10 trend-following strategies were compared on the full daily history of BSE Ltd.. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 48.6%, MDD -36.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR 41.4%, drawdown -75.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 55.6%, MDD -39.4%, Sharpe 1.39, 69% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 14.3%p higher than buy and hold, while drawdown improves by 35.6%p (CAGR 48.6%, MDD -36.5%, exposure 46%).
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=11, exitN=33 |
55.6% | -39.4% | 1.39 | 1.41 | 69.0x | 36 | 69% |
| EMA 크로스오버 fast=53, slow=149 |
54.9% | -45.2% | 1.37 | 1.22 | 66.1x | 3 | 54% |
| SMA 크로스오버 fast=41, slow=217 |
54.8% | -45.2% | 1.37 | 1.21 | 65.6x | 3 | 54% |
| Supertrend period=19, mult=3.7 |
47.5% | -44.4% | 1.37 | 1.07 | 41.3x | 40 | 52% |
| MACD fast=27, slow=45, signal=34 |
41.3% | -38.5% | 1.32 | 1.07 | 27.3x | 54 | 48% |
| ROC 모멘텀 n=130, threshold=0.13 |
48.6% | -36.5% | 1.31 | 1.33 | 44.2x | 35 | 46% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=28, mult=2.1 |
37.1% | -38.0% | 1.22 | 0.98 | 20.5x | 44 | 37% |
| 볼린저 밴드 돌파 n=20, k=1.1 |
36.6% | -39.0% | 1.18 | 0.94 | 19.8x | 112 | 42% |
| ADX / DI 방향성 period=23, threshold=11 |
36.8% | -48.5% | 1.11 | 0.76 | 20.1x | 110 | 55% |
| Parabolic SAR step=0.01, maxStep=0.36 |
35.0% | -53.3% | 1.10 | 0.66 | 17.6x | 120 | 48% |
| Buy and hold | 41.4% | -75.0% | 1.05 | 0.55 | 27.5x | 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 11 days
- Sell — Sell when price breaks below the lowest low of the last 33 days