Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Info Edge India Ltd. backtest
10 trend-following strategies were compared on the full daily history of Info Edge India Ltd.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 20.1%, MDD -48.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 21.1%, drawdown -75.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 20.1%, MDD -48.9%, Sharpe 0.77, 64% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 26.6%p (CAGR 20.1%, MDD -48.9%, exposure 64%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=66, exitN=90 |
20.1% | -48.9% | 0.77 | 0.41 | 37.3x | 17 | 64% |
| Supertrend period=27, mult=4.9 |
19.6% | -50.4% | 0.76 | 0.39 | 34.3x | 35 | 61% |
| EMA 크로스오버 fast=24, slow=30 |
18.1% | -42.4% | 0.72 | 0.43 | 26.7x | 91 | 61% |
| Keltner 채널 돌파 emaPeriod=95, atrPeriod=25, mult=2.1 |
16.6% | -42.6% | 0.71 | 0.39 | 20.7x | 51 | 48% |
| SMA 크로스오버 fast=11, slow=192 |
16.4% | -47.6% | 0.66 | 0.34 | 20.2x | 43 | 64% |
| ROC 모멘텀 n=148, threshold=-0.02 |
15.0% | -56.9% | 0.60 | 0.26 | 15.8x | 119 | 69% |
| ADX / DI 방향성 period=28, threshold=11 |
11.4% | -56.7% | 0.52 | 0.20 | 8.5x | 167 | 62% |
| 볼린저 밴드 돌파 n=41, k=1.5 |
8.2% | -47.2% | 0.44 | 0.17 | 4.8x | 123 | 43% |
| Parabolic SAR step=0.005, maxStep=0.3 |
4.8% | -53.5% | 0.31 | 0.09 | 2.5x | 159 | 58% |
| MACD fast=17, slow=85, signal=19 |
4.2% | -48.5% | 0.29 | 0.09 | 2.3x | 203 | 53% |
| Buy and hold | 21.1% | -75.5% | 0.70 | 0.28 | 44.1x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 66 days
- Sell — Sell when price breaks below the lowest low of the last 90 days