Trend-Following Backtester · Guide · backtest 한국어

equity · IN

Indian Oil Corp. Ltd. backtest

10 trend-following strategies were compared on the full daily history of Indian Oil Corp. Ltd.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.

Data 1996-04-15 ~ 2026-07-31daily bars 7,601 (30.3 years)Costs 0.5%Venue NSEMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 7.1%, drawdown -93.9%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR -0.7%, MDD -99.1%, Sharpe 0.47, 91% exposure.

CAGR reference leader: SMA 크로스오버 — CAGR 1.8%, MDD -93.8%, exposure 54%.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=3, exitN=77
-0.7%-99.1%0.47-0.010.8x12991%
SMA 크로스오버
fast=27, slow=122
1.8%-93.8%0.340.021.7x7654%
MACD
fast=10, slow=25, signal=10
-21.4%-100.0%0.33-0.210.0x59051%
ROC 모멘텀
n=11, threshold=-0.02
-21.6%-100.0%0.31-0.220.0x92964%
EMA 크로스오버
fast=63, slow=289
-1.4%-97.4%0.24-0.010.7x2853%
ADX / DI 방향성
period=17, threshold=20
-9.1%-99.6%0.20-0.090.1x27229%
Parabolic SAR
step=0.05, maxStep=0.38
-34.5%-100.0%0.19-0.350.0x104848%
Supertrend
period=9, mult=4.7
-34.5%-100.0%0.10-0.350.0x11049%
볼린저 밴드 돌파
n=43, k=2.9
-36.8%-100.0%-0.02-0.370.0x7817%
Keltner 채널 돌파
emaPeriod=38, atrPeriod=14, mult=1.9
-39.0%-100.0%-0.04-0.390.0x18029%
Buy and hold7.1%-93.9%0.520.088.1x1100%
0.1 1x 10x 1997 2001 2005 2009 2013 2017 2021 2025 SMA 크로스오버Donchian 채널 돌파Buy and hold
Donchian 채널 돌파 (Sharpe leader), SMA 크로스오버 (CAGR reference), Buy and hold.
0% -25% -50% -74% -99% 1997 2001 2005 2009 2013 2017 2021 2025 Buy and holdSMA 크로스오버Donchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -99.1% (1996-11-12 → 1999-04-19), prior peak not yet recovered.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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