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 6.0%, drawdown -18.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.7%, MDD -13.5%, Sharpe 0.72, 62% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 6.9%, MDD -16.8%, exposure 92%.
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=57, slow=216 |
6.7% | -13.5% | 0.72 | 0.50 | 1.8x | 7 | 62% |
| ROC 모멘텀 n=162, threshold=-0.13 |
6.9% | -16.8% | 0.65 | 0.41 | 1.9x | 3 | 92% |
| EMA 크로스오버 fast=43, slow=174 |
6.0% | -17.1% | 0.64 | 0.35 | 1.7x | 7 | 63% |
| ADX / DI 방향성 period=27, threshold=31 |
1.7% | -8.3% | 0.50 | 0.21 | 1.2x | 8 | 4% |
| Donchian 채널 돌파 entryN=103, exitN=74 |
4.1% | -17.8% | 0.50 | 0.23 | 1.4x | 7 | 52% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=7, mult=3.9 |
2.2% | -12.1% | 0.39 | 0.18 | 1.2x | 14 | 19% |
| 볼린저 밴드 돌파 n=13, k=3.3 |
0.5% | -3.1% | 0.34 | 0.15 | 1.0x | 4 | 2% |
| Supertrend period=22, mult=5 |
1.9% | -25.9% | 0.24 | 0.07 | 1.2x | 25 | 66% |
| Parabolic SAR step=0.015, maxStep=0.08 |
1.1% | -25.3% | 0.17 | 0.04 | 1.1x | 122 | 50% |
| MACD fast=12, slow=56, signal=14 |
0.6% | -23.5% | 0.11 | 0.02 | 1.1x | 106 | 48% |
| Buy and hold | 6.0% | -18.2% | 0.56 | 0.33 | 1.7x | 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 57-day average price crosses above the 216-day average
- Sell — Sell (to cash) when the 57-day average falls below the 216-day average