Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Equitas Small Finance Bank Ltd. backtest
10 trend-following strategies were compared on the full daily history of Equitas Small Finance Bank Ltd.. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 11.6%, MDD -18.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 13.3%, drawdown -56.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 21.3%, MDD -42.8%, Sharpe 0.73, 88% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 8.0%p higher than buy and hold, while drawdown improves by 13.3%p (CAGR 11.6%, MDD -18.2%, exposure 30%).
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=5, exitN=49 |
21.3% | -42.8% | 0.73 | 0.50 | 3.1x | 18 | 88% |
| EMA 크로스오버 fast=38, slow=59 |
16.8% | -38.4% | 0.68 | 0.44 | 2.5x | 12 | 57% |
| ROC 모멘텀 n=148, threshold=0.18 |
11.6% | -18.2% | 0.64 | 0.64 | 1.9x | 26 | 30% |
| Supertrend period=19, mult=2.5 |
14.5% | -33.1% | 0.63 | 0.44 | 2.2x | 38 | 48% |
| ADX / DI 방향성 period=17, threshold=16 |
13.1% | -43.9% | 0.58 | 0.30 | 2.1x | 76 | 53% |
| SMA 크로스오버 fast=54, slow=155 |
11.0% | -38.8% | 0.54 | 0.28 | 1.9x | 9 | 50% |
| 볼린저 밴드 돌파 n=19, k=1.7 |
8.5% | -26.6% | 0.46 | 0.32 | 1.6x | 60 | 35% |
| MACD fast=22, slow=32, signal=32 |
8.8% | -37.0% | 0.45 | 0.24 | 1.6x | 44 | 49% |
| Keltner 채널 돌파 emaPeriod=70, atrPeriod=27, mult=3.2 |
6.2% | -38.2% | 0.37 | 0.16 | 1.4x | 16 | 34% |
| Parabolic SAR step=0.01, maxStep=0.2 |
4.6% | -40.0% | 0.30 | 0.12 | 1.3x | 78 | 53% |
| Buy and hold | 13.3% | -56.1% | 0.52 | 0.24 | 2.1x | 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 5 days
- Sell — Sell when price breaks below the lowest low of the last 49 days