Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Bandhan Bank Ltd. backtest
10 trend-following strategies were compared on the full daily history of Bandhan Bank Ltd.. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.9%, MDD -23.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -11.4%, drawdown -82.1%).
Sharpe leader (same as main): MACD — CAGR 13.5%, MDD -44.0%, Sharpe 0.59, 48% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 24.9%p higher than buy and hold, while drawdown improves by 38.2%p (CAGR 0.9%, MDD -23.4%, exposure 8%).
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=19, slow=46, signal=22 |
13.5% | -44.0% | 0.59 | 0.31 | 2.9x | 60 | 48% |
| Parabolic SAR step=0.005, maxStep=0.24 |
4.0% | -56.8% | 0.28 | 0.07 | 1.4x | 62 | 47% |
| ROC 모멘텀 n=11, threshold=0.11 |
1.7% | -27.2% | 0.19 | 0.06 | 1.2x | 98 | 10% |
| Supertrend period=28, mult=2.8 |
0.9% | -69.3% | 0.18 | 0.01 | 1.1x | 60 | 49% |
| 볼린저 밴드 돌파 n=24, k=2.8 |
0.9% | -23.4% | 0.14 | 0.04 | 1.1x | 14 | 8% |
| SMA 크로스오버 fast=17, slow=44 |
-2.5% | -63.0% | 0.07 | -0.04 | 0.8x | 46 | 45% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=7, mult=2.3 |
-2.0% | -41.5% | -0.00 | -0.05 | 0.8x | 32 | 22% |
| Donchian 채널 돌파 entryN=12, exitN=65 |
-7.8% | -69.5% | -0.04 | -0.11 | 0.5x | 30 | 75% |
| ADX / DI 방향성 period=13, threshold=19 |
-3.9% | -57.4% | -0.06 | -0.07 | 0.7x | 114 | 31% |
| EMA 크로스오버 fast=12, slow=25 |
-10.6% | -80.0% | -0.25 | -0.13 | 0.4x | 86 | 44% |
| Buy and hold | -11.4% | -82.1% | -0.03 | -0.14 | 0.4x | 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 (19/46) crosses above its 22-day signal line
- Sell — Sell when the MACD line crosses back below the signal line