Trend-Following Backtester · Guide · backtest 한국어
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Nippon India ETF Nifty Midcap 150 backtest
10 trend-following strategies were compared on the full daily history of Nippon India ETF Nifty Midcap 150. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 19.5%, MDD -15.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 18.9%, drawdown -38.4%).
Sharpe leader (same as main): Supertrend — CAGR 19.5%, MDD -15.0%, Sharpe 1.52, 76% exposure.
Return/drawdown alternative: Supertrend — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 23.4%p (CAGR 19.5%, MDD -15.0%, exposure 76%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=36, mult=3.7 |
19.5% | -15.0% | 1.52 | 1.30 | 3.9x | 10 | 76% |
| ADX / DI 방향성 period=61, threshold=9 |
18.0% | -21.2% | 1.52 | 0.85 | 3.5x | 10 | 58% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=28, mult=1.4 |
15.5% | -12.2% | 1.45 | 1.26 | 3.0x | 22 | 55% |
| ROC 모멘텀 n=85, threshold=0.07 |
15.0% | -15.4% | 1.43 | 0.97 | 2.9x | 40 | 52% |
| EMA 크로스오버 fast=8, slow=88 |
18.2% | -15.1% | 1.43 | 1.21 | 3.6x | 18 | 75% |
| 볼린저 밴드 돌파 n=55, k=1.7 |
15.5% | -14.0% | 1.42 | 1.11 | 3.0x | 28 | 56% |
| SMA 크로스오버 fast=11, slow=88 |
17.7% | -18.3% | 1.42 | 0.97 | 3.5x | 24 | 71% |
| Donchian 채널 돌파 entryN=55, exitN=43 |
15.8% | -24.9% | 1.34 | 0.64 | 3.1x | 8 | 67% |
| MACD fast=19, slow=54, signal=10 |
14.0% | -14.5% | 1.28 | 0.96 | 2.7x | 78 | 50% |
| Parabolic SAR step=0.005, maxStep=0.02 |
12.5% | -26.1% | 1.06 | 0.48 | 2.5x | 42 | 65% |
| Buy and hold | 18.9% | -38.4% | 0.99 | 0.49 | 3.8x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 36-day volatility, 3.7× band
- Sell — Sell when price drops below the trend line (flips down)