Trend-Following Backtester · Guide · backtest 한국어
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ICICI Prudential Nifty 100 Low Volatility 30 ETF backtest
10 trend-following strategies were compared on the full daily history of ICICI Prudential Nifty 100 Low Volatility 30 ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.6%, MDD -13.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.6%, drawdown -28.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.4%, MDD -15.9%, Sharpe 1.25, 58% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 10.7%, MDD -15.8%, exposure 68%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.2%p lower than buy and hold, while drawdown improves by 12.2%p (CAGR 10.6%, MDD -13.1%, exposure 66%).
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=57, exitN=48 |
10.4% | -15.9% | 1.25 | 0.66 | 2.3x | 2 | 58% |
| SMA 크로스오버 fast=21, slow=139 |
10.6% | -13.1% | 1.24 | 0.81 | 2.3x | 11 | 66% |
| EMA 크로스오버 fast=25, slow=71 |
10.7% | -15.8% | 1.16 | 0.68 | 2.3x | 17 | 68% |
| ROC 모멘텀 n=144, threshold=0.13 |
6.4% | -13.7% | 1.09 | 0.46 | 1.7x | 30 | 33% |
| Supertrend period=21, mult=1.7 |
9.9% | -20.6% | 1.02 | 0.48 | 2.2x | 29 | 65% |
| 볼린저 밴드 돌파 n=47, k=2.6 |
5.3% | -11.8% | 0.98 | 0.45 | 1.5x | 14 | 26% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=19, mult=0.8 |
5.8% | -22.0% | 0.78 | 0.26 | 1.6x | 33 | 49% |
| MACD fast=14, slow=45, signal=17 |
6.6% | -19.1% | 0.72 | 0.35 | 1.7x | 71 | 51% |
| ADX / DI 방향성 period=30, threshold=28 |
3.7% | -15.7% | 0.56 | 0.23 | 1.3x | 9 | 25% |
| Parabolic SAR step=0.01, maxStep=0.14 |
4.5% | -19.4% | 0.49 | 0.23 | 1.4x | 103 | 59% |
| Buy and hold | 12.6% | -28.1% | 0.86 | 0.45 | 2.7x | 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 57 days
- Sell — Sell when price breaks below the lowest low of the last 48 days