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. 6 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 9.7%, MDD -60.8%).
Results by strategy
6 of 10 beat buy and hold (CAGR 8.1%, drawdown -85.5%).
Sharpe leader (same as main): MACD — CAGR 15.7%, MDD -77.4%, Sharpe 0.54, 50% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 7.6%p higher than buy and hold, while drawdown improves by 8.0%p (CAGR 9.7%, MDD -60.8%, exposure 41%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=26, slow=45, signal=25 |
15.7% | -77.4% | 0.54 | 0.20 | 34.5x | 186 | 50% |
| SMA 크로스오버 fast=13, slow=170 |
11.1% | -66.9% | 0.46 | 0.17 | 12.9x | 82 | 48% |
| Supertrend period=10, mult=4.4 |
10.0% | -65.3% | 0.43 | 0.15 | 10.1x | 70 | 61% |
| Donchian 채널 돌파 entryN=40, exitN=20 |
9.8% | -65.3% | 0.43 | 0.15 | 9.6x | 64 | 28% |
| ROC 모멘텀 n=160, threshold=0.05 |
9.7% | -60.8% | 0.43 | 0.16 | 9.5x | 174 | 41% |
| EMA 크로스오버 fast=48, slow=96 |
9.6% | -63.6% | 0.42 | 0.15 | 9.2x | 48 | 48% |
| ADX / DI 방향성 period=38, threshold=32 |
5.3% | -45.5% | 0.37 | 0.12 | 3.5x | 14 | 6% |
| 볼린저 밴드 돌파 n=24, k=0.6 |
4.3% | -77.0% | 0.31 | 0.06 | 2.8x | 380 | 42% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=20, mult=3.8 |
3.8% | -58.2% | 0.27 | 0.07 | 2.5x | 44 | 12% |
| Parabolic SAR step=0.02, maxStep=0.16 |
-3.5% | -87.6% | 0.12 | -0.04 | 0.4x | 468 | 49% |
| Buy and hold | 8.1% | -85.5% | 0.42 | 0.10 | 6.7x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (26/45) crosses above its 25-day signal line
- Sell — Sell when the MACD line crosses back below the signal line