Trend-Following Backtester · Guide · backtest 한국어
equity · IN
South Indian Bank Limited backtest
10 trend-following strategies were compared on the full daily history of South Indian Bank Limited. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 13.3%, MDD -49.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 13.0%, drawdown -85.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.3%, MDD -63.7%, Sharpe 0.59, 71% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 21.9%p (CAGR 13.3%, MDD -49.9%, exposure 53%).
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=36, exitN=93 |
16.3% | -63.7% | 0.59 | 0.26 | 65.2x | 33 | 71% |
| ROC 모멘텀 n=127, threshold=-0.1 |
14.6% | -51.4% | 0.55 | 0.28 | 43.3x | 183 | 68% |
| SMA 크로스오버 fast=73, slow=114 |
13.3% | -49.9% | 0.54 | 0.27 | 31.2x | 61 | 53% |
| Keltner 채널 돌파 emaPeriod=70, atrPeriod=19, mult=1.8 |
12.3% | -54.7% | 0.53 | 0.22 | 24.5x | 107 | 39% |
| EMA 크로스오버 fast=49, slow=108 |
10.2% | -63.9% | 0.46 | 0.16 | 14.7x | 55 | 55% |
| 볼린저 밴드 돌파 n=52, k=1.2 |
8.8% | -57.7% | 0.42 | 0.15 | 10.2x | 151 | 41% |
| Supertrend period=10, mult=4.2 |
9.0% | -66.0% | 0.42 | 0.14 | 10.9x | 89 | 56% |
| MACD fast=16, slow=29, signal=7 |
6.0% | -84.5% | 0.34 | 0.07 | 5.0x | 502 | 49% |
| ADX / DI 방향성 period=37, threshold=14 |
5.5% | -83.0% | 0.33 | 0.07 | 4.4x | 145 | 42% |
| Parabolic SAR step=0.015, maxStep=0.36 |
2.9% | -78.8% | 0.25 | 0.04 | 2.2x | 444 | 47% |
| Buy and hold | 13.0% | -85.5% | 0.49 | 0.15 | 29.0x | 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 36 days
- Sell — Sell when price breaks below the lowest low of the last 93 days