Trend-Following Backtester · Guide · backtest 한국어
equity · IN
CreditAccess Grameen Ltd. backtest
10 trend-following strategies were compared on the full daily history of CreditAccess Grameen Ltd.. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 21.7%, MDD -34.4%).
Results by strategy
5 of 10 beat buy and hold (CAGR 18.1%, drawdown -68.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 30.6%, MDD -53.4%, Sharpe 0.86, 91% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 12.4%p higher than buy and hold, while drawdown improves by 14.9%p (CAGR 21.7%, MDD -34.4%, exposure 48%).
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=3, exitN=86 |
30.6% | -53.4% | 0.86 | 0.57 | 8.3x | 21 | 91% |
| ADX / DI 방향성 period=20, threshold=17 |
21.7% | -34.4% | 0.80 | 0.63 | 4.7x | 73 | 48% |
| Supertrend period=31, mult=4.8 |
20.7% | -50.8% | 0.72 | 0.41 | 4.4x | 15 | 71% |
| SMA 크로스오버 fast=57, slow=96 |
18.2% | -65.6% | 0.69 | 0.28 | 3.8x | 15 | 57% |
| EMA 크로스오버 fast=32, slow=42 |
18.6% | -46.9% | 0.69 | 0.40 | 3.9x | 23 | 58% |
| ROC 모멘텀 n=119, threshold=0.09 |
14.5% | -33.7% | 0.63 | 0.43 | 2.9x | 45 | 46% |
| MACD fast=14, slow=19, signal=14 |
12.7% | -59.9% | 0.54 | 0.21 | 2.6x | 125 | 49% |
| 볼린저 밴드 돌파 n=40, k=1.1 |
4.3% | -41.6% | 0.29 | 0.10 | 1.4x | 65 | 45% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=23, mult=1.1 |
3.4% | -55.7% | 0.26 | 0.06 | 1.3x | 71 | 44% |
| Parabolic SAR step=0.015, maxStep=0.28 |
2.8% | -70.7% | 0.25 | 0.04 | 1.2x | 143 | 51% |
| Buy and hold | 18.1% | -68.3% | 0.60 | 0.27 | 3.8x | 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 3 days
- Sell — Sell when price breaks below the lowest low of the last 86 days