Trend-Following Backtester · Guide · backtest 한국어
equity · IN
LIC Housing Finance Ltd backtest
10 trend-following strategies were compared on the full daily history of LIC Housing Finance Ltd. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 11.8%, MDD -36.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.3%, drawdown -75.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 11.1%, MDD -37.8%, Sharpe 0.63, 20% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 12.6%, MDD -43.5%, exposure 40%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.1%p lower than buy and hold, while drawdown improves by 37.6%p (CAGR 11.8%, MDD -36.4%, exposure 26%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=35, mult=3.8 |
11.1% | -37.8% | 0.63 | 0.30 | 12.7x | 48 | 20% |
| 볼린저 밴드 돌파 n=42, k=2.4 |
11.8% | -36.4% | 0.63 | 0.33 | 14.8x | 74 | 26% |
| Donchian 채널 돌파 entryN=79, exitN=40 |
12.6% | -43.5% | 0.59 | 0.29 | 17.5x | 47 | 40% |
| ROC 모멘텀 n=111, threshold=0.14 |
11.7% | -58.3% | 0.56 | 0.20 | 14.3x | 190 | 36% |
| ADX / DI 방향성 period=24, threshold=27 |
7.3% | -20.3% | 0.56 | 0.36 | 5.5x | 52 | 12% |
| SMA 크로스오버 fast=13, slow=48 |
11.6% | -54.7% | 0.52 | 0.21 | 14.1x | 156 | 55% |
| MACD fast=11, slow=51, signal=18 |
10.8% | -51.1% | 0.51 | 0.21 | 11.8x | 298 | 51% |
| EMA 크로스오버 fast=17, slow=64 |
10.3% | -56.7% | 0.48 | 0.18 | 10.6x | 103 | 55% |
| Supertrend period=7, mult=2.3 |
8.5% | -58.9% | 0.43 | 0.14 | 7.1x | 216 | 52% |
| Parabolic SAR step=0.02, maxStep=0.36 |
2.3% | -61.3% | 0.22 | 0.04 | 1.7x | 522 | 52% |
| Buy and hold | 15.3% | -75.4% | 0.56 | 0.20 | 30.6x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 44-day average + 3.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 44-day average