Trend-Following Backtester · Guide · backtest 한국어
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Nippon India ETF Nifty 8-13 Yr G-Sec Long Term Gilt backtest
10 trend-following strategies were compared on the full daily history of Nippon India ETF Nifty 8-13 Yr G-Sec Long Term Gilt. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.2%, drawdown -22.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.0%, MDD -7.9%, Sharpe 1.01, 78% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 6.5%, MDD -22.8%, exposure 99%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=20, slow=231 |
4.0% | -7.9% | 1.01 | 0.51 | 1.4x | 5 | 78% |
| EMA 크로스오버 fast=51, slow=232 |
4.0% | -8.0% | 0.96 | 0.50 | 1.4x | 5 | 80% |
| ADX / DI 방향성 period=35, threshold=50 |
1.9% | -8.0% | 0.73 | 0.23 | 1.2x | 6 | 40% |
| Donchian 채널 돌파 Hold-like · Exposure 99% entryN=1, exitN=27 |
6.5% | -22.8% | 0.63 | 0.28 | 1.7x | 7 | 99% |
| Parabolic SAR step=0.005, maxStep=0.12 |
4.2% | -15.6% | 0.57 | 0.27 | 1.4x | 51 | 68% |
| Supertrend period=21, mult=5 |
4.4% | -23.8% | 0.52 | 0.18 | 1.4x | 5 | 60% |
| ROC 모멘텀 Hold-like · Exposure 96% n=77, threshold=-0.06 |
4.9% | -22.8% | 0.51 | 0.21 | 1.5x | 3 | 96% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=23, mult=1.1 |
1.3% | -24.6% | 0.20 | 0.05 | 1.1x | 15 | 50% |
| 볼린저 밴드 돌파 n=28, k=2.1 |
1.2% | -26.8% | 0.19 | 0.05 | 1.1x | 47 | 50% |
| MACD fast=18, slow=57, signal=17 |
-1.7% | -28.4% | -0.14 | -0.06 | 0.9x | 68 | 47% |
| Buy and hold | 7.2% | -22.8% | 0.69 | 0.31 | 1.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 20-day average price crosses above the 231-day average
- Sell — Sell (to cash) when the 20-day average falls below the 231-day average