Trend-Following Backtester · Guide · backtest 한국어
equity · IN
IFCI Limited backtest
10 trend-following strategies were compared on the full daily history of IFCI Limited. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 16.5%, MDD -69.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR 11.3%, drawdown -97.0%).
Sharpe leader (same as main): MACD — CAGR 21.0%, MDD -83.8%, Sharpe 0.65, 50% exposure.
Return/drawdown alternative: Supertrend — CAGR is 9.7%p higher than buy and hold, while drawdown improves by 13.2%p (CAGR 16.5%, MDD -69.2%, exposure 46%).
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=11, slow=24, signal=13 |
21.0% | -83.8% | 0.65 | 0.25 | 99.2x | 380 | 50% |
| ADX / DI 방향성 period=39, threshold=12 |
19.8% | -81.9% | 0.64 | 0.24 | 77.7x | 145 | 43% |
| 볼린저 밴드 돌파 n=20, k=1.9 |
17.5% | -71.9% | 0.61 | 0.24 | 48.7x | 232 | 30% |
| SMA 크로스오버 fast=16, slow=78 |
18.6% | -72.1% | 0.61 | 0.26 | 61.0x | 91 | 50% |
| Donchian 채널 돌파 entryN=39, exitN=43 |
18.4% | -75.0% | 0.60 | 0.24 | 58.2x | 63 | 54% |
| EMA 크로스오버 fast=16, slow=53 |
17.7% | -82.9% | 0.59 | 0.21 | 51.0x | 113 | 49% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=13, mult=1.5 |
16.3% | -74.0% | 0.57 | 0.22 | 37.8x | 128 | 39% |
| Supertrend period=27, mult=4.9 |
16.5% | -69.2% | 0.57 | 0.24 | 39.7x | 64 | 46% |
| Parabolic SAR step=0.005, maxStep=0.4 |
16.2% | -86.2% | 0.56 | 0.19 | 37.3x | 176 | 48% |
| ROC 모멘텀 n=77, threshold=0.09 |
14.7% | -83.7% | 0.54 | 0.18 | 27.2x | 227 | 39% |
| Buy and hold | 11.3% | -97.0% | 0.48 | 0.12 | 13.3x | 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 (11/24) crosses above its 13-day signal line
- Sell — Sell when the MACD line crosses back below the signal line