Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Motilal Oswal Financial Services Limited backtest
10 trend-following strategies were compared on the full daily history of Motilal Oswal Financial Services Limited. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 16.9%, MDD -42.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR 9.2%, drawdown -88.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 16.9%, MDD -42.3%, Sharpe 0.71, 34% exposure.
CAGR reference leader: MACD — CAGR 18.6%, MDD -48.5%, exposure 51%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.7%p higher than buy and hold, while drawdown improves by 45.7%p (CAGR 16.9%, MDD -42.3%, exposure 34%).
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=22, atrPeriod=28, mult=1.2 |
16.9% | -42.3% | 0.71 | 0.40 | 19.3x | 163 | 34% |
| MACD fast=13, slow=42, signal=18 |
18.6% | -48.5% | 0.70 | 0.38 | 25.4x | 203 | 51% |
| ADX / DI 방향성 period=34, threshold=41 |
6.2% | -21.7% | 0.61 | 0.28 | 3.1x | 6 | 5% |
| SMA 크로스오버 fast=8, slow=108 |
13.7% | -82.1% | 0.60 | 0.17 | 11.5x | 61 | 51% |
| Donchian 채널 돌파 entryN=15, exitN=37 |
14.0% | -81.0% | 0.58 | 0.17 | 12.0x | 61 | 66% |
| 볼린저 밴드 돌파 n=59, k=1.2 |
12.1% | -75.6% | 0.56 | 0.16 | 8.7x | 91 | 42% |
| Supertrend period=29, mult=5 |
12.1% | -78.2% | 0.56 | 0.15 | 8.7x | 41 | 46% |
| EMA 크로스오버 fast=32, slow=46 |
12.0% | -82.2% | 0.55 | 0.15 | 8.6x | 57 | 53% |
| ROC 모멘텀 n=21, threshold=-0.03 |
9.4% | -83.8% | 0.47 | 0.11 | 5.5x | 365 | 63% |
| Parabolic SAR step=0.02, maxStep=0.24 |
8.3% | -64.7% | 0.41 | 0.13 | 4.5x | 379 | 50% |
| Buy and hold | 9.2% | -88.0% | 0.46 | 0.10 | 5.3x | 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 22-day average + 1.2× volatility (Keltner top)
- Sell — Sell when the close falls back to the 22-day average