Trend-Following Backtester · Guide · backtest 한국어
equity · IN
IndiGrid Infrastructure Trust backtest
10 trend-following strategies were compared on the full daily history of IndiGrid Infrastructure Trust. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR 6.7%, drawdown -18.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.0%, MDD -13.5%, Sharpe 0.85, 57% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=64, slow=272 |
8.0% | -13.5% | 0.85 | 0.59 | 2.0x | 5 | 57% |
| EMA 크로스오버 fast=41, slow=183 |
6.6% | -17.4% | 0.69 | 0.38 | 1.8x | 7 | 62% |
| ROC 모멘텀 Hold-like · Exposure 96% n=85, threshold=-0.11 |
7.1% | -17.7% | 0.65 | 0.40 | 1.9x | 3 | 96% |
| Donchian 채널 돌파 entryN=101, exitN=76 |
4.6% | -17.8% | 0.56 | 0.26 | 1.5x | 7 | 51% |
| 볼린저 밴드 돌파 n=22, k=3.2 |
1.7% | -7.7% | 0.42 | 0.22 | 1.2x | 16 | 9% |
| ADX / DI 방향성 period=32, threshold=13 |
3.0% | -15.0% | 0.41 | 0.20 | 1.3x | 65 | 42% |
| Supertrend period=24, mult=4.9 |
2.4% | -25.9% | 0.30 | 0.09 | 1.2x | 25 | 66% |
| Keltner 채널 돌파 emaPeriod=69, atrPeriod=15, mult=2.5 |
1.6% | -21.0% | 0.24 | 0.07 | 1.2x | 29 | 35% |
| MACD fast=11, slow=50, signal=16 |
0.3% | -23.9% | 0.08 | 0.01 | 1.0x | 104 | 49% |
| Parabolic SAR step=0.015, maxStep=0.36 |
-0.2% | -23.4% | 0.02 | -0.01 | 1.0x | 135 | 50% |
| Buy and hold | 6.7% | -18.2% | 0.61 | 0.37 | 1.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 64-day average price crosses above the 272-day average
- Sell — Sell (to cash) when the 64-day average falls below the 272-day average