Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Punjab National Bank backtest
10 trend-following strategies were compared on the full daily history of Punjab National Bank. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 10.5%, MDD -60.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.8%, drawdown -90.4%).
Sharpe leader (same as main): Supertrend — CAGR 10.5%, MDD -73.5%, Sharpe 0.49, 49% exposure.
CAGR reference leader: MACD — CAGR 10.5%, MDD -60.9%, exposure 50%.
Return/drawdown alternative: MACD — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 16.9%p (CAGR 10.5%, MDD -60.9%, exposure 50%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=29, mult=3.5 |
10.5% | -73.5% | 0.49 | 0.14 | 11.1x | 117 | 49% |
| MACD fast=16, slow=34, signal=13 |
10.5% | -60.9% | 0.47 | 0.17 | 11.1x | 306 | 50% |
| EMA 크로스오버 fast=14, slow=90 |
10.3% | -66.5% | 0.47 | 0.15 | 10.6x | 85 | 53% |
| 볼린저 밴드 돌파 n=25, k=2.4 |
7.9% | -60.3% | 0.45 | 0.13 | 6.2x | 126 | 25% |
| ADX / DI 방향성 period=20, threshold=19 |
8.6% | -59.7% | 0.45 | 0.14 | 7.4x | 193 | 28% |
| Donchian 채널 돌파 entryN=65, exitN=64 |
9.0% | -71.7% | 0.43 | 0.13 | 8.0x | 43 | 52% |
| SMA 크로스오버 fast=54, slow=177 |
8.6% | -67.9% | 0.43 | 0.13 | 7.4x | 34 | 54% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=24, mult=3.8 |
6.9% | -56.9% | 0.43 | 0.12 | 5.0x | 57 | 21% |
| ROC 모멘텀 n=88, threshold=0.12 |
6.2% | -73.5% | 0.36 | 0.08 | 4.3x | 206 | 34% |
| Parabolic SAR step=0.005, maxStep=0.36 |
5.3% | -71.8% | 0.32 | 0.07 | 3.5x | 203 | 49% |
| Buy and hold | 10.8% | -90.4% | 0.45 | 0.12 | 11.9x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 29-day volatility, 3.5× band
- Sell — Sell when price drops below the trend line (flips down)