Trend-Following Backtester · Guide · backtest 한국어
equity · IN
State Bank of India backtest
10 trend-following strategies were compared on the full daily history of State Bank of India. 2 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 12.1%, MDD -45.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 14.0%, drawdown -61.5%).
Sharpe leader (same as main): MACD — CAGR 12.1%, MDD -45.3%, Sharpe 0.57, 50% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 14.5%, MDD -67.6%, exposure 89%.
Return/drawdown alternative: MACD — CAGR is 2.0%p lower than buy and hold, while drawdown improves by 16.2%p (CAGR 12.1%, MDD -45.3%, 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 |
|---|---|---|---|---|---|---|---|
| MACD fast=8, slow=50, signal=17 |
12.1% | -45.3% | 0.57 | 0.27 | 32.8x | 416 | 50% |
| Donchian 채널 돌파 entryN=7, exitN=79 |
14.5% | -67.6% | 0.57 | 0.21 | 63.2x | 87 | 89% |
| ROC 모멘텀 Hold-like · Exposure 98% n=9, threshold=-0.13 |
14.3% | -60.7% | 0.56 | 0.24 | 60.5x | 129 | 98% |
| Parabolic SAR step=0.045, maxStep=0.06 |
9.7% | -54.1% | 0.49 | 0.18 | 17.1x | 494 | 53% |
| Supertrend period=19, mult=2 |
9.0% | -62.5% | 0.46 | 0.14 | 14.2x | 386 | 51% |
| EMA 크로스오버 fast=6, slow=151 |
7.5% | -73.9% | 0.41 | 0.10 | 9.1x | 125 | 62% |
| 볼린저 밴드 돌파 n=22, k=1.2 |
6.9% | -52.7% | 0.41 | 0.13 | 7.8x | 392 | 43% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=24, mult=1.9 |
5.5% | -49.2% | 0.38 | 0.11 | 5.2x | 218 | 27% |
| ADX / DI 방향성 period=33, threshold=10 |
6.3% | -70.4% | 0.37 | 0.09 | 6.4x | 347 | 50% |
| SMA 크로스오버 fast=10, slow=85 |
6.1% | -70.6% | 0.36 | 0.09 | 6.2x | 141 | 58% |
| Buy and hold | 14.0% | -61.5% | 0.54 | 0.23 | 56.0x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (8/50) crosses above its 17-day signal line
- Sell — Sell when the MACD line crosses back below the signal line