Trend-Following Backtester · Guide · backtest 한국어
equity · IN
L&T Finance Ltd backtest
10 trend-following strategies were compared on the full daily history of L&T Finance Ltd. 1 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 13.1%, MDD -33.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 13.6%, drawdown -77.0%).
Sharpe leader (same as main): MACD — CAGR 16.7%, MDD -46.4%, Sharpe 0.73, 50% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 30.7%p (CAGR 13.1%, MDD -33.3%, exposure 42%).
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=18, slow=24, signal=18 |
16.7% | -46.4% | 0.73 | 0.36 | 10.3x | 166 | 50% |
| 볼린저 밴드 돌파 n=30, k=1.3 |
13.1% | -33.3% | 0.65 | 0.39 | 6.4x | 127 | 42% |
| ROC 모멘텀 n=188, threshold=0.09 |
12.4% | -44.0% | 0.62 | 0.28 | 5.8x | 52 | 44% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=19, mult=2 |
10.2% | -45.9% | 0.58 | 0.22 | 4.3x | 80 | 31% |
| ADX / DI 방향성 period=17, threshold=32 |
6.7% | -23.6% | 0.53 | 0.28 | 2.6x | 36 | 12% |
| Donchian 채널 돌파 entryN=117, exitN=38 |
9.1% | -55.3% | 0.52 | 0.16 | 3.7x | 23 | 32% |
| SMA 크로스오버 fast=59, slow=159 |
10.9% | -74.4% | 0.52 | 0.15 | 4.7x | 29 | 52% |
| EMA 크로스오버 fast=17, slow=212 |
7.0% | -67.1% | 0.39 | 0.10 | 2.8x | 37 | 57% |
| Supertrend period=28, mult=2 |
6.6% | -55.2% | 0.38 | 0.12 | 2.6x | 175 | 52% |
| Parabolic SAR step=0.01, maxStep=0.28 |
6.2% | -54.5% | 0.36 | 0.11 | 2.5x | 197 | 55% |
| Buy and hold | 13.6% | -77.0% | 0.53 | 0.18 | 6.9x | 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 (18/24) crosses above its 18-day signal line
- Sell — Sell when the MACD line crosses back below the signal line