Trend-Following Backtester · Guide · backtest 한국어
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Nippon India ETF Gold BeES backtest
10 trend-following strategies were compared on the full daily history of Nippon India ETF Gold BeES. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 13.1%, drawdown -99.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 8.0%, MDD -21.1%, Sharpe 0.72, 53% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 8.2%, MDD -26.9%, exposure 63%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=38, threshold=15 |
8.0% | -21.1% | 0.72 | 0.38 | 3.9x | 62 | 53% |
| SMA 크로스오버 fast=12, slow=83 |
8.2% | -26.9% | 0.67 | 0.31 | 4.0x | 72 | 63% |
| 볼린저 밴드 돌파 n=69, k=1.3 |
6.6% | -21.1% | 0.61 | 0.31 | 3.1x | 72 | 49% |
| ROC 모멘텀 n=76, threshold=0.01 |
6.8% | -34.8% | 0.56 | 0.19 | 3.2x | 172 | 62% |
| Keltner 채널 돌파 emaPeriod=70, atrPeriod=7, mult=2.5 |
5.8% | -23.7% | 0.55 | 0.25 | 2.7x | 60 | 44% |
| Supertrend period=24, mult=4.5 |
5.4% | -35.1% | 0.52 | 0.15 | 2.5x | 66 | 52% |
| EMA 크로스오버 fast=26, slow=36 |
5.6% | -29.6% | 0.48 | 0.19 | 2.6x | 82 | 63% |
| Parabolic SAR step=0.005, maxStep=0.06 |
4.5% | -37.5% | 0.43 | 0.12 | 2.2x | 120 | 60% |
| Donchian 채널 돌파 entryN=39, exitN=15 |
4.2% | -32.9% | 0.42 | 0.13 | 2.1x | 70 | 32% |
| MACD fast=19, slow=47, signal=18 |
3.0% | -25.0% | 0.32 | 0.12 | 1.7x | 179 | 48% |
| Buy and hold | 13.1% | -99.0% | 0.24 | 0.13 | 8.7x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 38-day) is ≥ 15
- Sell — Sell when direction flips or the trend weakens (ADX < 15)