Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Coal India Ltd. backtest
10 trend-following strategies were compared on the full daily history of Coal India Ltd.. 6 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.4%, MDD -9.8%).
Results by strategy
6 of 10 beat buy and hold (CAGR 1.2%, drawdown -75.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.4%, MDD -16.6%, Sharpe 0.55, 9% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.2%p higher than buy and hold, while drawdown improves by 58.5%p (CAGR 1.4%, MDD -9.8%, exposure 1%).
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=26, k=3.3 |
5.4% | -16.6% | 0.55 | 0.32 | 2.3x | 16 | 9% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=16, mult=3.5 |
3.3% | -29.7% | 0.40 | 0.11 | 1.7x | 16 | 7% |
| ADX / DI 방향성 period=34, threshold=37 |
1.4% | -9.8% | 0.37 | 0.15 | 1.2x | 2 | 1% |
| EMA 크로스오버 fast=56, slow=227 |
3.8% | -48.2% | 0.29 | 0.08 | 1.8x | 15 | 43% |
| Donchian 채널 돌파 entryN=28, exitN=94 |
4.0% | -58.5% | 0.29 | 0.07 | 1.9x | 24 | 72% |
| SMA 크로스오버 fast=46, slow=154 |
2.6% | -54.7% | 0.23 | 0.05 | 1.5x | 27 | 49% |
| ROC 모멘텀 n=137, threshold=0.09 |
-0.1% | -49.4% | 0.08 | -0.00 | 1.0x | 114 | 31% |
| Supertrend period=15, mult=5 |
-0.7% | -68.5% | 0.08 | -0.01 | 0.9x | 40 | 52% |
| MACD fast=19, slow=34, signal=19 |
-6.9% | -71.1% | -0.24 | -0.10 | 0.3x | 196 | 49% |
| Parabolic SAR step=0.02, maxStep=0.38 |
-11.6% | -88.0% | -0.49 | -0.13 | 0.1x | 338 | 48% |
| Buy and hold | 1.2% | -75.1% | 0.19 | 0.02 | 1.2x | 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 26-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 26-day middle average