Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Indian Railway Finance Corp. Ltd. backtest
10 trend-following strategies were compared on the full daily history of Indian Railway Finance Corp. Ltd.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 36.4%, MDD -15.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR 24.1%, drawdown -61.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 36.4%, MDD -15.7%, Sharpe 1.43, 13% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 41.3%, MDD -38.2%, exposure 37%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 12.3%p higher than buy and hold, while drawdown improves by 46.0%p (CAGR 36.4%, MDD -15.7%, exposure 13%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=11, k=2.6 |
36.4% | -15.7% | 1.43 | 2.33 | 5.7x | 24 | 13% |
| SMA 크로스오버 fast=45, slow=219 |
41.3% | -38.2% | 1.22 | 1.08 | 6.9x | 4 | 37% |
| ROC 모멘텀 n=179, threshold=0.15 |
37.7% | -33.6% | 1.15 | 1.12 | 6.0x | 8 | 34% |
| EMA 크로스오버 fast=19, slow=57 |
37.4% | -33.6% | 1.14 | 1.11 | 5.9x | 14 | 43% |
| MACD fast=8, slow=47, signal=18 |
31.5% | -40.5% | 1.09 | 0.78 | 4.6x | 64 | 42% |
| ADX / DI 방향성 period=27, threshold=23 |
30.0% | -24.1% | 1.09 | 1.25 | 4.3x | 10 | 23% |
| Donchian 채널 돌파 entryN=113, exitN=56 |
33.0% | -29.1% | 1.08 | 1.13 | 4.9x | 4 | 29% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=18, mult=1.3 |
32.7% | -37.2% | 1.06 | 0.88 | 4.9x | 24 | 37% |
| Supertrend period=18, mult=1.8 |
29.7% | -28.2% | 1.04 | 1.05 | 4.3x | 64 | 39% |
| Parabolic SAR step=0.01, maxStep=0.1 |
24.9% | -50.1% | 0.90 | 0.50 | 3.5x | 56 | 39% |
| Buy and hold | 24.1% | -61.7% | 0.75 | 0.39 | 3.3x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 11-day average (2.6× volatility)
- Sell — Sell when the close falls back to the 11-day middle average