Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Yes Bank Limited backtest
10 trend-following strategies were compared on the full daily history of Yes Bank Limited. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 10.1%, MDD -51.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR 3.0%, drawdown -97.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.7%, MDD -64.1%, Sharpe 0.57, 54% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 10.7%p higher than buy and hold, while drawdown improves by 33.2%p (CAGR 10.1%, MDD -51.8%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=21, slow=31 |
13.7% | -64.1% | 0.57 | 0.21 | 14.9x | 172 | 54% |
| Donchian 채널 돌파 entryN=69, exitN=91 |
11.7% | -72.7% | 0.51 | 0.16 | 10.3x | 23 | 65% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=18, mult=3.7 |
9.0% | -53.7% | 0.51 | 0.17 | 6.1x | 54 | 27% |
| ROC 모멘텀 n=128, threshold=-0.04 |
10.6% | -73.2% | 0.48 | 0.15 | 8.4x | 127 | 63% |
| EMA 크로스오버 fast=7, slow=187 |
10.1% | -51.8% | 0.48 | 0.19 | 7.5x | 67 | 55% |
| Supertrend period=20, mult=4.2 |
8.1% | -75.6% | 0.41 | 0.11 | 5.1x | 73 | 52% |
| 볼린저 밴드 돌파 n=26, k=2.3 |
5.4% | -67.5% | 0.34 | 0.08 | 3.0x | 114 | 29% |
| ADX / DI 방향성 period=18, threshold=19 |
5.7% | -75.9% | 0.34 | 0.08 | 3.2x | 192 | 39% |
| MACD fast=26, slow=41, signal=24 |
3.2% | -96.0% | 0.29 | 0.03 | 1.9x | 162 | 52% |
| Parabolic SAR step=0.04, maxStep=0.24 |
-4.9% | -88.8% | 0.06 | -0.06 | 0.3x | 636 | 52% |
| Buy and hold | 3.0% | -97.3% | 0.33 | 0.03 | 1.9x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 21-day average price crosses above the 31-day average
- Sell — Sell (to cash) when the 21-day average falls below the 31-day average