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 20.4%, MDD -34.4%).
Results by strategy
5 of 10 beat buy and hold (CAGR 15.7%, drawdown -68.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 27.7%, MDD -53.4%, Sharpe 0.81, 92% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 12.0%p higher than buy and hold, while drawdown improves by 14.9%p (CAGR 20.4%, 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 |
27.7% | -53.4% | 0.81 | 0.52 | 7.1x | 21 | 92% |
| ADX / DI 방향성 period=20, threshold=17 |
20.4% | -34.4% | 0.77 | 0.59 | 4.4x | 74 | 48% |
| Supertrend period=31, mult=4.8 |
18.1% | -50.8% | 0.66 | 0.36 | 3.8x | 15 | 72% |
| EMA 크로스오버 fast=32, slow=42 |
16.1% | -46.9% | 0.63 | 0.34 | 3.3x | 23 | 59% |
| SMA 크로스오버 fast=57, slow=96 |
15.7% | -65.6% | 0.63 | 0.24 | 3.2x | 15 | 58% |
| ROC 모멘텀 n=119, threshold=0.09 |
12.2% | -33.7% | 0.56 | 0.36 | 2.5x | 45 | 47% |
| MACD fast=14, slow=19, signal=14 |
12.1% | -59.9% | 0.52 | 0.20 | 2.5x | 126 | 49% |
| 볼린저 밴드 돌파 n=40, k=1.1 |
3.7% | -41.6% | 0.27 | 0.09 | 1.3x | 66 | 45% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=23, mult=1.1 |
2.5% | -55.7% | 0.23 | 0.04 | 1.2x | 72 | 45% |
| Parabolic SAR step=0.015, maxStep=0.28 |
2.3% | -70.7% | 0.23 | 0.03 | 1.2x | 144 | 51% |
| Buy and hold | 15.7% | -68.3% | 0.55 | 0.23 | 3.2x | 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