Trend-Following Backtester · Guide · backtest 한국어
etf · IN
Nippon India ETF Nifty 1D Rate Liquid BeES backtest
10 trend-following strategies were compared on the full daily history of Nippon India ETF Nifty 1D Rate Liquid BeES. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR -0.0%, drawdown -0.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.0%, MDD 0.0%, Sharpe 0.00, 0% exposure.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=131, threshold=0.08 |
0.0% | 0.0% | 0.00 | 0.00 | 1.0x | 0 | 0% |
| 볼린저 밴드 돌파 n=14, k=3.5 |
-0.1% | -1.1% | -0.34 | -0.06 | 1.0x | 2 | 0% |
| ADX / DI 방향성 period=130, threshold=36 |
-0.1% | -1.0% | -0.34 | -0.06 | 1.0x | 2 | 4% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=13, mult=3.9 |
-0.1% | -1.0% | -0.34 | -0.06 | 1.0x | 2 | 0% |
| Supertrend period=9, mult=4.5 |
-0.1% | -2.1% | -0.50 | -0.06 | 1.0x | 4 | 37% |
| Donchian 채널 돌파 entryN=26, exitN=103 |
-0.1% | -2.5% | -0.53 | -0.06 | 1.0x | 5 | 84% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-1.9% | -28.9% | -2.00 | -0.07 | 0.7x | 68 | 52% |
| EMA 크로스오버 fast=222, slow=281 |
-2.4% | -35.0% | -2.26 | -0.07 | 0.6x | 86 | 40% |
| SMA 크로스오버 fast=69, slow=264 |
-2.8% | -39.1% | -2.43 | -0.07 | 0.6x | 99 | 42% |
| MACD fast=19, slow=58, signal=18 |
-22.0% | -98.7% | -7.96 | -0.22 | 0.0x | 870 | 47% |
| Buy and hold | -0.0% | -0.6% | -0.22 | -0.05 | 1.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 131-day return is greater than 8%
- Sell — Sell when the 131-day return drops to 8% or below