Trend-Following Backtester · Guide · backtest 한국어
equity · IN
General Insurance Corporation of India backtest
10 trend-following strategies were compared on the full daily history of General Insurance Corporation of India. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.4%, MDD -27.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -2.4%, drawdown -80.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 8.4%, MDD -27.1%, Sharpe 0.45, 18% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 9.1%, MDD -40.8%, exposure 40%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 10.8%p higher than buy and hold, while drawdown improves by 53.4%p (CAGR 8.4%, MDD -27.1%, exposure 18%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=15, mult=3.5 |
8.4% | -27.1% | 0.45 | 0.31 | 2.0x | 10 | 18% |
| Donchian 채널 돌파 entryN=47, exitN=39 |
9.1% | -40.8% | 0.43 | 0.22 | 2.1x | 14 | 40% |
| MACD fast=19, slow=35, signal=14 |
8.5% | -43.6% | 0.42 | 0.20 | 2.0x | 103 | 48% |
| ADX / DI 방향성 period=22, threshold=31 |
5.9% | -29.4% | 0.38 | 0.20 | 1.6x | 12 | 12% |
| 볼린저 밴드 돌파 n=45, k=2.6 |
6.1% | -39.5% | 0.36 | 0.15 | 1.7x | 22 | 21% |
| EMA 크로스오버 fast=10, slow=110 |
5.7% | -51.6% | 0.33 | 0.11 | 1.6x | 30 | 42% |
| SMA 크로스오버 fast=60, slow=210 |
5.1% | -53.4% | 0.32 | 0.10 | 1.5x | 10 | 44% |
| Supertrend period=17, mult=5 |
1.5% | -54.6% | 0.22 | 0.03 | 1.1x | 20 | 61% |
| Parabolic SAR step=0.005, maxStep=0.24 |
1.9% | -53.6% | 0.21 | 0.04 | 1.2x | 66 | 44% |
| ROC 모멘텀 n=102, threshold=0.12 |
1.6% | -42.2% | 0.20 | 0.04 | 1.2x | 48 | 27% |
| Buy and hold | -2.4% | -80.5% | 0.15 | -0.03 | 0.8x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 57-day average + 3.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 57-day average