Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Canara Bank backtest
10 trend-following strategies were compared on the full daily history of Canara Bank. 3 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester.
Results by strategy
3 of 10 beat buy and hold (CAGR 11.5%, drawdown -93.6%).
Sharpe leader (same as main): MACD — CAGR 15.8%, MDD -86.6%, Sharpe 0.36, 49% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=19, slow=49, signal=11 |
15.8% | -86.6% | 0.36 | 0.18 | 31.9x | 269 | 49% |
| EMA 크로스오버 fast=53, slow=91 |
11.6% | -86.7% | 0.33 | 0.13 | 13.5x | 34 | 58% |
| Supertrend period=9, mult=3.6 |
11.6% | -80.5% | 0.33 | 0.14 | 13.5x | 110 | 53% |
| Donchian 채널 돌파 entryN=13, exitN=33 |
10.4% | -87.5% | 0.33 | 0.12 | 10.4x | 110 | 71% |
| Parabolic SAR step=0.005, maxStep=0.08 |
10.4% | -82.5% | 0.31 | 0.13 | 10.2x | 178 | 49% |
| SMA 크로스오버 fast=16, slow=154 |
9.5% | -89.4% | 0.31 | 0.11 | 8.5x | 52 | 57% |
| ROC 모멘텀 n=48, threshold=-0.04 |
5.9% | -92.3% | 0.28 | 0.06 | 3.9x | 318 | 64% |
| 볼린저 밴드 돌파 n=19, k=0.8 |
6.6% | -84.5% | 0.27 | 0.08 | 4.6x | 386 | 44% |
| Keltner 채널 돌파 emaPeriod=70, atrPeriod=21, mult=3.1 |
7.1% | -85.0% | 0.27 | 0.08 | 5.0x | 68 | 31% |
| ADX / DI 방향성 period=23, threshold=16 |
5.1% | -82.5% | 0.25 | 0.06 | 3.2x | 210 | 33% |
| Buy and hold | 11.5% | -93.6% | 0.36 | 0.12 | 13.1x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (19/49) crosses above its 11-day signal line
- Sell — Sell when the MACD line crosses back below the signal line