Trend-Following Backtester · Guide · backtest 한국어
equity · IN
AU Small Finance Bank Limited backtest
10 trend-following strategies were compared on the full daily history of AU Small Finance Bank Limited. 4 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 14.8%, MDD -22.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR 15.5%, drawdown -67.8%).
Sharpe leader (same as main): MACD — CAGR 32.7%, MDD -30.2%, Sharpe 1.27, 51% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 17.3%p higher than buy and hold, while drawdown improves by 37.6%p (CAGR 14.8%, MDD -22.8%, exposure 34%).
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=20, slow=27, signal=20 |
32.7% | -30.2% | 1.27 | 1.08 | 13.0x | 72 | 51% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=13, mult=1.6 |
16.0% | -34.3% | 0.89 | 0.47 | 3.8x | 62 | 31% |
| 볼린저 밴드 돌파 n=17, k=2.1 |
14.8% | -22.8% | 0.82 | 0.65 | 3.5x | 82 | 34% |
| EMA 크로스오버 fast=7, slow=22 |
17.3% | -32.2% | 0.75 | 0.54 | 4.3x | 81 | 58% |
| Supertrend period=13, mult=2.9 |
17.0% | -36.8% | 0.75 | 0.46 | 4.1x | 49 | 58% |
| SMA 크로스오버 fast=9, slow=22 |
15.0% | -32.2% | 0.67 | 0.47 | 3.5x | 106 | 56% |
| Parabolic SAR step=0.02, maxStep=0.08 |
13.4% | -35.9% | 0.62 | 0.37 | 3.1x | 155 | 55% |
| Donchian 채널 돌파 entryN=27, exitN=10 |
10.0% | -40.3% | 0.53 | 0.25 | 2.4x | 54 | 44% |
| ROC 모멘텀 n=15, threshold=-0.04 |
11.9% | -53.1% | 0.53 | 0.22 | 2.8x | 191 | 75% |
| ADX / DI 방향성 period=13, threshold=16 |
8.7% | -41.2% | 0.48 | 0.21 | 2.1x | 143 | 48% |
| Buy and hold | 15.5% | -67.8% | 0.58 | 0.23 | 3.7x | 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 (20/27) crosses above its 20-day signal line
- Sell — Sell when the MACD line crosses back below the signal line