Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Karur Vysya Bank Ltd. backtest
10 trend-following strategies were compared on the full daily history of Karur Vysya Bank Ltd.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 18.4%, drawdown -88.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.8%, MDD -92.7%, Sharpe 0.51, 61% exposure.
CAGR reference leader: MACD — CAGR 18.1%, MDD -86.1%, exposure 50%.
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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=141, threshold=0.01 |
9.8% | -92.7% | 0.51 | 0.11 | 17.5x | 179 | 61% |
| Donchian 채널 돌파 entryN=110, exitN=55 |
6.6% | -91.7% | 0.43 | 0.07 | 7.1x | 41 | 49% |
| SMA 크로스오버 fast=46, slow=119 |
17.6% | -89.1% | 0.33 | 0.20 | 144.8x | 67 | 58% |
| MACD fast=13, slow=24, signal=10 |
18.1% | -86.1% | 0.33 | 0.21 | 162.6x | 481 | 50% |
| EMA 크로스오버 fast=39, slow=74 |
15.8% | -89.3% | 0.32 | 0.18 | 88.7x | 69 | 59% |
| Supertrend period=18, mult=4.5 |
14.2% | -88.3% | 0.30 | 0.16 | 58.1x | 97 | 54% |
| 볼린저 밴드 돌파 n=14, k=1.2 |
14.1% | -86.9% | 0.30 | 0.16 | 57.9x | 505 | 41% |
| Parabolic SAR step=0.01, maxStep=0.38 |
13.0% | -89.4% | 0.29 | 0.15 | 42.9x | 359 | 50% |
| ADX / DI 방향성 period=11, threshold=12 |
9.6% | -87.6% | 0.27 | 0.11 | 16.5x | 643 | 54% |
| Keltner 채널 돌파 emaPeriod=65, atrPeriod=22, mult=0.6 |
6.6% | -90.2% | 0.24 | 0.07 | 7.1x | 297 | 52% |
| Buy and hold | 18.4% | -88.0% | 0.36 | 0.21 | 175.6x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 141-day return is greater than 1%
- Sell — Sell when the 141-day return drops to 1% or below