Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Bank of Maharashtra backtest
10 trend-following strategies were compared on the full daily history of Bank of Maharashtra. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 9.4%, MDD -50.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR 3.2%, drawdown -91.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.2%, MDD -56.2%, Sharpe 0.62, 49% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 12.0%p higher than buy and hold, while drawdown improves by 34.8%p (CAGR 9.4%, MDD -50.3%, exposure 35%).
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=8, slow=140 |
15.2% | -56.2% | 0.62 | 0.27 | 23.2x | 61 | 49% |
| Donchian 채널 돌파 entryN=59, exitN=58 |
13.3% | -58.6% | 0.58 | 0.23 | 16.3x | 29 | 44% |
| EMA 크로스오버 fast=31, slow=67 |
12.6% | -68.8% | 0.55 | 0.18 | 14.1x | 57 | 47% |
| 볼린저 밴드 돌파 n=75, k=1.8 |
10.4% | -58.0% | 0.50 | 0.18 | 9.1x | 60 | 35% |
| ROC 모멘텀 n=57, threshold=0.05 |
10.1% | -54.2% | 0.48 | 0.19 | 8.5x | 242 | 38% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=14, mult=2 |
9.4% | -50.3% | 0.47 | 0.19 | 7.4x | 88 | 35% |
| Supertrend period=26, mult=2.9 |
7.9% | -75.3% | 0.42 | 0.11 | 5.5x | 124 | 43% |
| ADX / DI 방향성 period=33, threshold=11 |
7.5% | -88.2% | 0.39 | 0.09 | 5.0x | 203 | 50% |
| MACD fast=8, slow=41, signal=13 |
2.5% | -65.2% | 0.23 | 0.04 | 1.8x | 376 | 50% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-3.4% | -85.5% | 0.02 | -0.04 | 0.5x | 358 | 49% |
| Buy and hold | 3.2% | -91.1% | 0.28 | 0.03 | 2.0x | 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 8-day average price crosses above the 140-day average
- Sell — Sell (to cash) when the 8-day average falls below the 140-day average