Trend-Following Backtester · Guide · backtest 한국어
etf · IN
Nippon India ETF Nifty IT backtest
10 trend-following strategies were compared on the full daily history of Nippon India ETF Nifty IT. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.4%, MDD -18.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 14.6%, drawdown -42.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.4%, MDD -18.6%, Sharpe 0.96, 42% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 13.1%, MDD -28.8%, exposure 61%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.2%p lower than buy and hold, while drawdown improves by 23.6%p (CAGR 12.4%, MDD -18.6%, exposure 42%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=56, exitN=19 |
12.4% | -18.6% | 0.96 | 0.67 | 2.1x | 14 | 42% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=21, mult=3.4 |
9.2% | -11.8% | 0.90 | 0.78 | 1.7x | 10 | 24% |
| 볼린저 밴드 돌파 n=47, k=1.8 |
11.1% | -22.5% | 0.89 | 0.49 | 1.9x | 25 | 43% |
| EMA 크로스오버 fast=29, slow=37 |
13.1% | -28.8% | 0.88 | 0.45 | 2.1x | 21 | 61% |
| ADX / DI 방향성 period=27, threshold=33 |
9.0% | -14.5% | 0.82 | 0.62 | 1.7x | 10 | 24% |
| Supertrend period=19, mult=1.6 |
10.5% | -16.8% | 0.78 | 0.63 | 1.9x | 68 | 47% |
| MACD fast=11, slow=23, signal=17 |
10.8% | -18.6% | 0.77 | 0.58 | 1.9x | 78 | 49% |
| ROC 모멘텀 n=86, threshold=0.05 |
9.0% | -18.5% | 0.74 | 0.49 | 1.7x | 43 | 45% |
| SMA 크로스오버 fast=12, slow=30 |
9.8% | -31.9% | 0.68 | 0.31 | 1.8x | 47 | 58% |
| Parabolic SAR step=0.01, maxStep=0.14 |
5.7% | -30.2% | 0.45 | 0.19 | 1.4x | 88 | 53% |
| Buy and hold | 14.6% | -42.1% | 0.75 | 0.35 | 2.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 56 days
- Sell — Sell when price breaks below the lowest low of the last 19 days