Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Nippon Life India Asset Management Ltd. backtest
10 trend-following strategies were compared on the full daily history of Nippon Life India Asset Management Ltd.. 6 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 24.5%, MDD -32.8%).
Results by strategy
6 of 10 beat buy and hold (CAGR 17.4%, drawdown -59.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 26.4%, MDD -38.5%, Sharpe 0.95, 56% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.0%p higher than buy and hold, while drawdown improves by 21.4%p (CAGR 24.5%, MDD -32.8%, exposure 53%).
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=92, threshold=0.01 |
26.4% | -38.5% | 0.95 | 0.69 | 7.7x | 39 | 56% |
| Donchian 채널 돌파 entryN=75, exitN=71 |
26.0% | -35.8% | 0.95 | 0.73 | 7.5x | 7 | 57% |
| SMA 크로스오버 fast=8, slow=172 |
24.9% | -38.7% | 0.93 | 0.64 | 7.0x | 9 | 56% |
| ADX / DI 방향성 period=57, threshold=10 |
24.5% | -32.8% | 0.90 | 0.75 | 6.8x | 27 | 53% |
| EMA 크로스오버 fast=41, slow=122 |
21.9% | -51.3% | 0.81 | 0.43 | 5.6x | 7 | 56% |
| Supertrend period=29, mult=4.7 |
19.0% | -38.9% | 0.74 | 0.49 | 4.6x | 21 | 63% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=28, mult=2.4 |
13.8% | -32.5% | 0.64 | 0.42 | 3.1x | 25 | 47% |
| Parabolic SAR step=0.015, maxStep=0.04 |
13.7% | -34.0% | 0.59 | 0.40 | 3.1x | 84 | 56% |
| 볼린저 밴드 돌파 n=55, k=1.3 |
9.8% | -32.2% | 0.49 | 0.30 | 2.3x | 44 | 49% |
| MACD fast=13, slow=29, signal=17 |
6.9% | -42.0% | 0.38 | 0.17 | 1.8x | 114 | 50% |
| Buy and hold | 17.4% | -59.8% | 0.61 | 0.29 | 4.1x | 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 92-day return is greater than 1%
- Sell — Sell when the 92-day return drops to 1% or below