Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Indian Overseas Bank backtest
10 trend-following strategies were compared on the full daily history of Indian Overseas Bank. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.4%, MDD -47.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR 3.7%, drawdown -96.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.0%, MDD -50.8%, Sharpe 0.57, 32% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 13.9%, MDD -58.7%, exposure 45%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 9.3%p higher than buy and hold, while drawdown improves by 46.1%p (CAGR 7.4%, MDD -47.8%, exposure 8%).
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=70, exitN=30 |
13.0% | -50.8% | 0.57 | 0.26 | 19.5x | 38 | 32% |
| EMA 크로스오버 fast=54, slow=181 |
13.9% | -58.7% | 0.56 | 0.24 | 23.4x | 22 | 45% |
| MACD fast=15, slow=38, signal=17 |
13.2% | -76.2% | 0.54 | 0.17 | 20.1x | 272 | 50% |
| SMA 크로스오버 fast=44, slow=205 |
13.2% | -55.8% | 0.54 | 0.24 | 20.3x | 26 | 44% |
| Supertrend period=11, mult=4.7 |
11.5% | -69.8% | 0.49 | 0.16 | 14.0x | 56 | 53% |
| 볼린저 밴드 돌파 n=17, k=3 |
7.4% | -47.8% | 0.47 | 0.15 | 5.6x | 62 | 8% |
| ROC 모멘텀 n=92, threshold=0.1 |
9.3% | -63.0% | 0.44 | 0.15 | 8.6x | 164 | 35% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=13, mult=1.9 |
7.4% | -63.2% | 0.39 | 0.12 | 5.6x | 104 | 30% |
| ADX / DI 방향성 period=39, threshold=14 |
5.0% | -63.5% | 0.31 | 0.08 | 3.3x | 104 | 28% |
| Parabolic SAR step=0.005, maxStep=0.42 |
3.9% | -88.2% | 0.28 | 0.04 | 2.5x | 190 | 47% |
| Buy and hold | 3.7% | -96.9% | 0.30 | 0.04 | 2.4x | 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 70 days
- Sell — Sell when price breaks below the lowest low of the last 30 days