Trend-Following Backtester · Guide · backtest 한국어
equity · IN
IIFL Capital Services Ltd backtest
10 trend-following strategies were compared on the full daily history of IIFL Capital Services Ltd. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 45.9%, MDD -39.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 46.9%, drawdown -60.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 45.6%, MDD -40.2%, Sharpe 1.19, 41% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 46.4%, MDD -65.5%, exposure 85%.
Return/drawdown alternative: MACD — CAGR is 1.3%p lower than buy and hold, while drawdown improves by 20.5%p (CAGR 45.9%, MDD -39.7%, exposure 50%).
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=34, k=1.3 |
45.6% | -40.2% | 1.19 | 1.13 | 14.0x | 43 | 41% |
| MACD fast=31, slow=37, signal=15 |
45.9% | -39.7% | 1.16 | 1.16 | 14.2x | 63 | 50% |
| Supertrend period=15, mult=2.2 |
43.0% | -45.5% | 1.11 | 0.95 | 12.4x | 57 | 51% |
| ROC 모멘텀 n=17, threshold=0 |
42.5% | -43.1% | 1.07 | 0.99 | 12.1x | 147 | 54% |
| EMA 크로스오버 fast=11, slow=13 |
40.2% | -51.3% | 1.04 | 0.78 | 10.8x | 69 | 52% |
| Donchian 채널 돌파 entryN=7, exitN=48 |
46.4% | -65.5% | 1.03 | 0.71 | 14.5x | 23 | 85% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=18, mult=1.9 |
34.0% | -45.8% | 1.01 | 0.74 | 7.8x | 35 | 34% |
| SMA 크로스오버 fast=13, slow=30 |
35.5% | -49.1% | 0.96 | 0.72 | 8.5x | 57 | 54% |
| Parabolic SAR step=0.015, maxStep=0.26 |
34.4% | -55.1% | 0.93 | 0.62 | 8.0x | 111 | 50% |
| ADX / DI 방향성 period=33, threshold=7 |
26.6% | -62.0% | 0.77 | 0.43 | 5.2x | 71 | 65% |
| Buy and hold | 46.9% | -60.7% | 0.99 | 0.77 | 14.9x | 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 34-day average (1.3× volatility)
- Sell — Sell when the close falls back to the 34-day middle average