Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Oil India Limited backtest
10 trend-following strategies were compared on the full daily history of Oil India Limited. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 12.5%, MDD -35.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR 7.0%, drawdown -78.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.0%, MDD -46.1%, Sharpe 0.65, 28% exposure.
CAGR reference leader: Supertrend — CAGR 12.5%, MDD -35.9%, exposure 46%.
Return/drawdown alternative: Supertrend — CAGR is 4.0%p higher than buy and hold, while drawdown improves by 32.6%p (CAGR 12.5%, MDD -35.9%, exposure 46%).
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=97, exitN=17 |
11.0% | -46.1% | 0.65 | 0.24 | 5.8x | 26 | 28% |
| Supertrend period=21, mult=5 |
12.5% | -35.9% | 0.65 | 0.35 | 7.3x | 31 | 46% |
| Keltner 채널 돌파 emaPeriod=65, atrPeriod=12, mult=3.4 |
9.0% | -42.7% | 0.57 | 0.21 | 4.3x | 26 | 26% |
| 볼린저 밴드 돌파 n=77, k=2.1 |
9.4% | -38.0% | 0.56 | 0.25 | 4.6x | 38 | 32% |
| SMA 크로스오버 fast=18, slow=169 |
10.2% | -49.5% | 0.53 | 0.21 | 5.2x | 29 | 49% |
| ADX / DI 방향성 period=39, threshold=23 |
5.6% | -31.5% | 0.49 | 0.18 | 2.5x | 12 | 9% |
| MACD fast=24, slow=47, signal=41 |
8.8% | -53.5% | 0.48 | 0.16 | 4.2x | 105 | 49% |
| EMA 크로스오버 fast=21, slow=84 |
8.5% | -47.8% | 0.47 | 0.18 | 4.0x | 45 | 49% |
| ROC 모멘텀 n=140, threshold=0.02 |
7.6% | -57.3% | 0.43 | 0.13 | 3.5x | 104 | 47% |
| Parabolic SAR step=0.005, maxStep=0.28 |
2.1% | -65.3% | 0.21 | 0.03 | 1.4x | 133 | 47% |
| Buy and hold | 7.0% | -78.7% | 0.38 | 0.09 | 3.2x | 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 97 days
- Sell — Sell when price breaks below the lowest low of the last 17 days