Trend-Following Backtester · Guide · backtest 한국어
equity · IN
ICICI Bank Limited backtest
10 trend-following strategies were compared on the full daily history of ICICI Bank Limited. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 14.7%, MDD -38.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 18.3%, drawdown -81.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 16.4%, MDD -68.0%, Sharpe 0.67, 85% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.8%p lower than buy and hold, while drawdown improves by 13.7%p (CAGR 14.7%, MDD -38.7%, exposure 66%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=94, threshold=-0.12 |
16.4% | -68.0% | 0.67 | 0.24 | 39.4x | 103 | 85% |
| SMA 크로스오버 fast=12, slow=135 |
14.9% | -46.3% | 0.66 | 0.32 | 28.8x | 61 | 66% |
| Donchian 채널 돌파 entryN=74, exitN=75 |
14.7% | -38.7% | 0.66 | 0.38 | 27.6x | 31 | 66% |
| EMA 크로스오버 fast=53, slow=213 |
14.4% | -48.3% | 0.63 | 0.30 | 25.9x | 19 | 75% |
| 볼린저 밴드 돌파 n=81, k=0.7 |
11.8% | -36.2% | 0.59 | 0.33 | 14.9x | 119 | 57% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=22, mult=1.2 |
10.3% | -48.4% | 0.54 | 0.21 | 10.8x | 141 | 56% |
| Supertrend period=5, mult=4.7 |
9.1% | -71.3% | 0.46 | 0.13 | 8.2x | 75 | 65% |
| ADX / DI 방향성 period=39, threshold=7 |
5.6% | -58.0% | 0.35 | 0.10 | 3.7x | 307 | 57% |
| MACD fast=15, slow=52, signal=16 |
3.9% | -60.4% | 0.28 | 0.06 | 2.5x | 286 | 49% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-1.0% | -72.9% | 0.09 | -0.01 | 0.8x | 234 | 57% |
| Buy and hold | 18.3% | -81.7% | 0.64 | 0.22 | 57.6x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 94-day return is greater than -12%
- Sell — Sell when the 94-day return drops to -12% or below