Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Indian Railway Catering & Tourism Corp. Ltd. backtest
10 trend-following strategies were compared on the full daily history of Indian Railway Catering & Tourism Corp. Ltd.. 5 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 19.2%, MDD -33.6%).
Results by strategy
5 of 10 beat buy and hold (CAGR 18.9%, drawdown -59.1%).
Sharpe leader (same as main): Supertrend — CAGR 30.0%, MDD -34.2%, Sharpe 1.11, 48% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 11.1%p higher than buy and hold, while drawdown improves by 24.9%p (CAGR 19.2%, MDD -33.6%, exposure 12%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=21, mult=3.5 |
30.0% | -34.2% | 1.11 | 0.88 | 6.1x | 24 | 48% |
| SMA 크로스오버 fast=46, slow=113 |
26.1% | -41.0% | 1.00 | 0.64 | 4.9x | 10 | 49% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=21, mult=3.3 |
19.2% | -33.6% | 0.95 | 0.57 | 3.3x | 12 | 12% |
| ADX / DI 방향성 period=16, threshold=37 |
18.7% | -37.4% | 0.92 | 0.50 | 3.3x | 12 | 13% |
| EMA 크로스오버 fast=30, slow=110 |
21.5% | -50.2% | 0.83 | 0.43 | 3.8x | 16 | 51% |
| ROC 모멘텀 n=111, threshold=0.11 |
19.8% | -46.0% | 0.83 | 0.43 | 3.5x | 34 | 33% |
| Donchian 채널 돌파 entryN=114, exitN=45 |
18.2% | -42.4% | 0.81 | 0.43 | 3.2x | 4 | 32% |
| 볼린저 밴드 돌파 n=23, k=2.7 |
16.0% | -33.5% | 0.79 | 0.48 | 2.8x | 24 | 17% |
| Parabolic SAR step=0.01, maxStep=0.28 |
12.6% | -67.7% | 0.57 | 0.19 | 2.3x | 84 | 47% |
| MACD fast=13, slow=29, signal=9 |
7.8% | -59.3% | 0.42 | 0.13 | 1.7x | 114 | 50% |
| Buy and hold | 18.9% | -59.1% | 0.66 | 0.32 | 3.3x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 21-day volatility, 3.5× band
- Sell — Sell when price drops below the trend line (flips down)