Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Indian Hotels Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of Indian Hotels Co. Ltd.. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 20.0%, MDD -49.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 17.6%, drawdown -80.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 21.5%, MDD -56.9%, Sharpe 0.83, 72% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 23.4%p (CAGR 20.0%, MDD -49.3%, 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=24, exitN=61 |
21.5% | -56.9% | 0.83 | 0.38 | 109.6x | 47 | 72% |
| EMA 크로스오버 fast=37, slow=67 |
20.0% | -49.3% | 0.81 | 0.41 | 80.9x | 53 | 61% |
| SMA 크로스오버 fast=44, slow=98 |
19.9% | -54.2% | 0.81 | 0.37 | 78.7x | 51 | 59% |
| Supertrend period=42, mult=3.4 |
17.5% | -51.4% | 0.79 | 0.34 | 48.6x | 93 | 54% |
| ROC 모멘텀 n=88, threshold=0.01 |
14.3% | -62.8% | 0.64 | 0.23 | 25.1x | 205 | 58% |
| 볼린저 밴드 돌파 n=41, k=1.9 |
11.8% | -46.6% | 0.63 | 0.25 | 14.7x | 119 | 36% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=8, mult=1.8 |
11.1% | -49.9% | 0.60 | 0.22 | 12.5x | 113 | 38% |
| ADX / DI 방향성 period=29, threshold=18 |
8.7% | -47.2% | 0.54 | 0.18 | 7.4x | 108 | 28% |
| MACD fast=17, slow=54, signal=22 |
9.5% | -65.9% | 0.49 | 0.14 | 8.9x | 244 | 50% |
| Parabolic SAR step=0.005, maxStep=0.2 |
8.6% | -69.4% | 0.46 | 0.12 | 7.3x | 199 | 52% |
| Buy and hold | 17.6% | -80.3% | 0.64 | 0.22 | 49.6x | 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 24 days
- Sell — Sell when price breaks below the lowest low of the last 61 days