Trend-Following Backtester · Guide · backtest 한국어
equity · IN
ICICI Life Insurance Ltd backtest
10 trend-following strategies were compared on the full daily history of ICICI Life Insurance Ltd. 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.8%, MDD -24.2%).
Results by strategy
5 of 10 beat buy and hold (CAGR 4.0%, drawdown -54.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.5%, MDD -24.4%, Sharpe 0.63, 25% exposure.
CAGR reference leader: Supertrend — CAGR 8.8%, MDD -31.4%, exposure 51%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 30.4%p (CAGR 4.8%, MDD -24.2%, exposure 23%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=53, k=2.6 |
7.5% | -24.4% | 0.63 | 0.31 | 2.1x | 20 | 25% |
| Supertrend period=27, mult=2.4 |
8.8% | -31.4% | 0.49 | 0.28 | 2.3x | 72 | 51% |
| SMA 크로스오버 fast=32, slow=76 |
7.4% | -36.0% | 0.48 | 0.21 | 2.0x | 32 | 49% |
| Donchian 채널 돌파 entryN=52, exitN=12 |
5.4% | -26.7% | 0.46 | 0.20 | 1.7x | 36 | 27% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=28, mult=3.5 |
4.8% | -24.2% | 0.45 | 0.20 | 1.6x | 20 | 23% |
| EMA 크로스오버 fast=15, slow=57 |
3.9% | -49.5% | 0.29 | 0.08 | 1.5x | 42 | 51% |
| MACD fast=21, slow=35, signal=26 |
3.8% | -47.4% | 0.28 | 0.08 | 1.4x | 86 | 48% |
| ROC 모멘텀 n=48, threshold=0.06 |
2.8% | -50.5% | 0.26 | 0.06 | 1.3x | 116 | 36% |
| ADX / DI 방향성 period=35, threshold=24 |
1.3% | -13.2% | 0.22 | 0.10 | 1.1x | 6 | 8% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-0.4% | -48.4% | 0.09 | -0.01 | 1.0x | 86 | 49% |
| Buy and hold | 4.0% | -54.9% | 0.29 | 0.07 | 1.5x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 53-day average (2.6× volatility)
- Sell — Sell when the close falls back to the 53-day middle average