Trend-Following Backtester · Guide · backtest 한국어
equity · IN
ICICI Lombard General Insurance Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of ICICI Lombard General Insurance Co. Ltd.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 8.3%, MDD -30.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.7%, drawdown -42.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.9%, MDD -28.7%, Sharpe 0.50, 52% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 8.3%, MDD -30.6%, exposure 61%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.8%p lower than buy and hold, while drawdown improves by 13.6%p (CAGR 8.3%, MDD -30.6%, exposure 61%).
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=84, exitN=81 |
7.9% | -28.7% | 0.50 | 0.27 | 2.0x | 8 | 52% |
| EMA 크로스오버 fast=34, slow=194 |
8.3% | -30.6% | 0.48 | 0.27 | 2.0x | 10 | 61% |
| SMA 크로스오버 fast=34, slow=173 |
6.9% | -33.5% | 0.43 | 0.21 | 1.8x | 10 | 58% |
| ROC 모멘텀 n=195, threshold=0.02 |
4.7% | -38.4% | 0.33 | 0.12 | 1.5x | 60 | 55% |
| 볼린저 밴드 돌파 n=22, k=3.5 |
1.2% | -6.5% | 0.33 | 0.18 | 1.1x | 4 | 3% |
| Supertrend period=9, mult=4.6 |
2.5% | -47.5% | 0.23 | 0.05 | 1.3x | 22 | 54% |
| MACD fast=18, slow=60, signal=16 |
2.3% | -39.9% | 0.22 | 0.06 | 1.2x | 84 | 46% |
| ADX / DI 방향성 period=46, threshold=31 |
0.2% | -1.5% | 0.18 | 0.14 | 1.0x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=14, mult=4 |
-0.1% | -15.6% | 0.03 | -0.01 | 1.0x | 10 | 10% |
| Parabolic SAR step=0.035, maxStep=0.06 |
-2.8% | -37.7% | -0.04 | -0.08 | 0.8x | 150 | 54% |
| Buy and hold | 9.7% | -42.3% | 0.47 | 0.23 | 2.3x | 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 84 days
- Sell — Sell when price breaks below the lowest low of the last 81 days