Trend-Following Backtester · Guide · backtest 한국어
equity · IN
PNB Housing Finance Limited backtest
10 trend-following strategies were compared on the full daily history of PNB Housing Finance Limited. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 16.0%, MDD -24.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR 4.6%, drawdown -91.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 22.4%, MDD -36.8%, Sharpe 0.82, 53% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 17.8%p higher than buy and hold, while drawdown improves by 54.4%p (CAGR 16.0%, MDD -24.6%, exposure 31%).
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=41, exitN=47 |
22.4% | -36.8% | 0.82 | 0.61 | 7.3x | 19 | 53% |
| ROC 모멘텀 n=48, threshold=0.04 |
19.6% | -54.4% | 0.77 | 0.36 | 5.8x | 119 | 45% |
| 볼린저 밴드 돌파 n=57, k=2.3 |
16.0% | -24.6% | 0.75 | 0.65 | 4.3x | 22 | 31% |
| SMA 크로스오버 fast=10, slow=60 |
19.6% | -63.5% | 0.75 | 0.31 | 5.8x | 37 | 52% |
| EMA 크로스오버 fast=28, slow=33 |
18.5% | -55.8% | 0.72 | 0.33 | 5.3x | 31 | 51% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=27, mult=2.1 |
13.0% | -40.6% | 0.61 | 0.32 | 3.3x | 45 | 36% |
| Supertrend period=26, mult=2.8 |
14.2% | -50.8% | 0.60 | 0.28 | 3.7x | 63 | 50% |
| ADX / DI 방향성 period=17, threshold=11 |
9.4% | -63.7% | 0.45 | 0.15 | 2.4x | 145 | 52% |
| Parabolic SAR step=0.035, maxStep=0.1 |
7.2% | -67.9% | 0.38 | 0.11 | 2.0x | 216 | 50% |
| MACD fast=6, slow=29, signal=10 |
7.2% | -71.4% | 0.38 | 0.10 | 2.0x | 216 | 49% |
| Buy and hold | 4.6% | -91.2% | 0.33 | 0.05 | 1.5x | 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 41 days
- Sell — Sell when price breaks below the lowest low of the last 47 days