Trend-Following Backtester · Guide · backtest 한국어
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Nippon India ETF Nifty Next 50 Junior BeES backtest
10 trend-following strategies were compared on the full daily history of Nippon India ETF Nifty Next 50 Junior BeES. 1 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 17.3%, MDD -27.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 17.3%, drawdown -39.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 17.3%, MDD -27.7%, Sharpe 1.02, 90% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.0%p higher than buy and hold, while drawdown improves by 11.3%p (CAGR 17.3%, MDD -27.7%, exposure 90%).
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=14, exitN=89 |
17.3% | -27.7% | 1.02 | 0.62 | 16.6x | 25 | 90% |
| Supertrend period=9, mult=2.5 |
14.2% | -19.8% | 0.98 | 0.72 | 10.4x | 107 | 65% |
| 볼린저 밴드 돌파 n=57, k=1 |
13.2% | -22.3% | 0.96 | 0.59 | 8.8x | 93 | 56% |
| EMA 크로스오버 fast=15, slow=33 |
13.9% | -31.5% | 0.95 | 0.44 | 9.9x | 93 | 66% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=9, mult=1 |
12.6% | -22.5% | 0.93 | 0.56 | 8.1x | 103 | 56% |
| SMA 크로스오버 fast=35, slow=81 |
11.9% | -37.2% | 0.83 | 0.32 | 7.2x | 51 | 65% |
| ROC 모멘텀 n=45, threshold=-0.03 |
12.1% | -43.3% | 0.80 | 0.28 | 7.5x | 145 | 77% |
| Parabolic SAR step=0.005, maxStep=0.32 |
7.9% | -30.1% | 0.61 | 0.26 | 3.8x | 165 | 57% |
| MACD fast=18, slow=42, signal=16 |
7.2% | -35.9% | 0.60 | 0.20 | 3.4x | 202 | 48% |
| ADX / DI 방향성 period=27, threshold=13 |
6.8% | -37.4% | 0.53 | 0.18 | 3.2x | 164 | 56% |
| Buy and hold | 17.3% | -39.0% | 0.92 | 0.44 | 16.5x | 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 14 days
- Sell — Sell when price breaks below the lowest low of the last 89 days