Trend-Following Backtester · Guide · backtest 한국어
equity · IN
ITI Limited backtest
10 trend-following strategies were compared on the full daily history of ITI Limited. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 10.2%, MDD -65.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR 8.7%, drawdown -85.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.5%, MDD -66.8%, Sharpe 0.44, 49% exposure.
Return/drawdown alternative: Supertrend — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 18.7%p (CAGR 10.2%, MDD -65.3%, exposure 61%).
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=29, slow=165 |
10.5% | -66.8% | 0.44 | 0.16 | 11.1x | 61 | 49% |
| Donchian 채널 돌파 entryN=41, exitN=41 |
10.3% | -66.7% | 0.44 | 0.15 | 10.6x | 50 | 39% |
| MACD fast=12, slow=47, signal=17 |
10.4% | -70.6% | 0.44 | 0.15 | 10.7x | 306 | 49% |
| Supertrend period=10, mult=4.4 |
10.2% | -65.3% | 0.44 | 0.16 | 10.4x | 69 | 61% |
| EMA 크로스오버 fast=57, slow=84 |
9.7% | -68.6% | 0.43 | 0.14 | 9.4x | 48 | 48% |
| ADX / DI 방향성 period=28, threshold=34 |
5.1% | -38.3% | 0.35 | 0.13 | 3.3x | 16 | 6% |
| ROC 모멘텀 n=176, threshold=0.14 |
6.0% | -62.4% | 0.34 | 0.10 | 4.1x | 156 | 34% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=25, mult=3.8 |
4.3% | -58.2% | 0.29 | 0.07 | 2.8x | 46 | 13% |
| 볼린저 밴드 돌파 n=29, k=1.4 |
3.9% | -70.5% | 0.29 | 0.05 | 2.5x | 212 | 35% |
| Parabolic SAR step=0.005, maxStep=0.1 |
0.6% | -81.6% | 0.23 | 0.01 | 1.2x | 176 | 50% |
| Buy and hold | 8.7% | -85.5% | 0.43 | 0.10 | 7.5x | 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 29-day average price crosses above the 165-day average
- Sell — Sell (to cash) when the 29-day average falls below the 165-day average