Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Central Bank of India backtest
10 trend-following strategies were compared on the full daily history of Central Bank of India. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 9.9%, MDD -46.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -5.9%, drawdown -95.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 14.1%, MDD -54.7%, Sharpe 0.71, 20% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 20.0%p higher than buy and hold, while drawdown improves by 40.4%p (CAGR 9.9%, MDD -46.4%, exposure 29%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=20, threshold=26 |
14.1% | -54.7% | 0.71 | 0.26 | 12.1x | 60 | 20% |
| Donchian 채널 돌파 entryN=94, exitN=29 |
11.9% | -49.0% | 0.59 | 0.24 | 8.4x | 22 | 23% |
| EMA 크로스오버 fast=20, slow=125 |
11.3% | -48.3% | 0.52 | 0.23 | 7.6x | 32 | 38% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=16, mult=2.5 |
9.7% | -54.5% | 0.50 | 0.18 | 5.8x | 58 | 22% |
| ROC 모멘텀 n=57, threshold=0.08 |
9.9% | -46.4% | 0.48 | 0.21 | 5.9x | 150 | 29% |
| 볼린저 밴드 돌파 n=20, k=2.5 |
8.4% | -62.0% | 0.46 | 0.14 | 4.6x | 98 | 19% |
| SMA 크로스오버 fast=24, slow=88 |
9.4% | -58.6% | 0.45 | 0.16 | 5.5x | 60 | 40% |
| Parabolic SAR step=0.01, maxStep=0.18 |
7.9% | -68.1% | 0.40 | 0.12 | 4.2x | 230 | 45% |
| Supertrend period=18, mult=4.8 |
7.7% | -75.7% | 0.40 | 0.10 | 4.1x | 48 | 42% |
| MACD fast=12, slow=48, signal=15 |
7.1% | -75.4% | 0.37 | 0.09 | 3.6x | 242 | 49% |
| Buy and hold | -5.9% | -95.1% | 0.08 | -0.06 | 0.3x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 20-day) is ≥ 26
- Sell — Sell when direction flips or the trend weakens (ADX < 26)