Trend-Following Backtester · Guide · backtest 한국어
equity · IN
HDFC Bank Limited backtest
10 trend-following strategies were compared on the full daily history of HDFC Bank Limited. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 18.1%, MDD -40.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 22.5%, drawdown -55.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 18.1%, MDD -40.5%, Sharpe 0.76, 78% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.4%p lower than buy and hold, while drawdown improves by 14.9%p (CAGR 18.1%, MDD -40.5%, exposure 78%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=47, slow=169 |
18.1% | -40.5% | 0.76 | 0.45 | 162.0x | 34 | 78% |
| SMA 크로스오버 fast=41, slow=211 |
17.7% | -41.9% | 0.76 | 0.42 | 144.8x | 34 | 74% |
| ROC 모멘텀 n=132, threshold=-0.1 |
16.8% | -61.9% | 0.69 | 0.27 | 114.4x | 144 | 87% |
| Donchian 채널 돌파 entryN=12, exitN=64 |
14.6% | -59.1% | 0.61 | 0.25 | 64.0x | 79 | 87% |
| Supertrend period=16, mult=3.5 |
8.3% | -58.8% | 0.45 | 0.14 | 11.3x | 146 | 62% |
| 볼린저 밴드 돌파 n=57, k=0.7 |
5.4% | -58.0% | 0.35 | 0.09 | 5.0x | 256 | 56% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=29, mult=2.4 |
4.3% | -61.1% | 0.31 | 0.07 | 3.6x | 134 | 43% |
| ADX / DI 방향성 period=39, threshold=12 |
3.3% | -55.4% | 0.26 | 0.06 | 2.7x | 234 | 45% |
| Parabolic SAR step=0.015, maxStep=0.12 |
2.1% | -59.9% | 0.21 | 0.04 | 1.9x | 536 | 56% |
| MACD fast=18, slow=54, signal=17 |
1.9% | -48.7% | 0.20 | 0.04 | 1.8x | 352 | 51% |
| Buy and hold | 22.5% | -55.4% | 0.79 | 0.41 | 499.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 47-day EMA crosses above the 169-day EMA
- Sell — Sell when the 47-day EMA falls below the 169-day EMA