Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Indian Energy Exchange Ltd. backtest
10 trend-following strategies were compared on the full daily history of Indian Energy Exchange Ltd.. 6 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 8.3%, MDD -23.0%).
Results by strategy
6 of 10 beat buy and hold (CAGR 7.8%, drawdown -64.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 12.1%, MDD -30.2%, Sharpe 0.71, 16% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 13.9%, MDD -48.1%, exposure 46%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.3%p higher than buy and hold, while drawdown improves by 33.7%p (CAGR 8.3%, MDD -23.0%, exposure 12%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=66, atrPeriod=24, mult=3.6 |
12.1% | -30.2% | 0.71 | 0.40 | 2.8x | 8 | 16% |
| SMA 크로스오버 fast=53, slow=166 |
13.9% | -48.1% | 0.60 | 0.29 | 3.2x | 12 | 46% |
| ADX / DI 방향성 period=49, threshold=22 |
8.3% | -23.0% | 0.57 | 0.36 | 2.0x | 4 | 12% |
| ROC 모멘텀 n=78, threshold=0.09 |
9.7% | -43.1% | 0.52 | 0.23 | 2.3x | 60 | 31% |
| 볼린저 밴드 돌파 n=39, k=3.2 |
6.2% | -28.1% | 0.52 | 0.22 | 1.7x | 8 | 8% |
| Donchian 채널 돌파 entryN=113, exitN=10 |
6.6% | -27.6% | 0.45 | 0.24 | 1.8x | 24 | 17% |
| EMA 크로스오버 fast=11, slow=187 |
8.2% | -54.2% | 0.43 | 0.15 | 2.0x | 24 | 45% |
| Supertrend period=8, mult=3.5 |
7.9% | -58.9% | 0.42 | 0.13 | 2.0x | 38 | 56% |
| Parabolic SAR step=0.025, maxStep=0.34 |
-0.7% | -64.2% | 0.10 | -0.01 | 0.9x | 208 | 48% |
| MACD fast=19, slow=24, signal=21 |
-2.4% | -63.6% | 0.03 | -0.04 | 0.8x | 112 | 52% |
| Buy and hold | 7.8% | -64.0% | 0.40 | 0.12 | 2.0x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 66-day average + 3.6× volatility (Keltner top)
- Sell — Sell when the close falls back to the 66-day average