Trend-Following Backtester · Guide · backtest 한국어
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Nippon India ETF Nifty 50 BeES backtest
10 trend-following strategies were compared on the full daily history of Nippon India ETF Nifty 50 BeES. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 13.3%, drawdown -89.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.2%, MDD -34.5%, Sharpe 0.49, 27% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.0%, MDD -90.8%, exposure 66%.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=57, k=2.5 |
4.2% | -34.5% | 0.49 | 0.12 | 2.0x | 36 | 27% |
| Donchian 채널 돌파 entryN=48, exitN=14 |
4.4% | -27.8% | 0.45 | 0.16 | 2.1x | 66 | 38% |
| ADX / DI 방향성 period=23, threshold=37 |
1.5% | -7.4% | 0.43 | 0.20 | 1.3x | 14 | 5% |
| MACD fast=18, slow=27, signal=17 |
2.8% | -35.4% | 0.31 | 0.08 | 1.6x | 224 | 49% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=23, mult=3 |
2.3% | -28.4% | 0.30 | 0.08 | 1.5x | 42 | 24% |
| SMA 크로스오버 fast=53, slow=82 |
7.0% | -90.8% | 0.25 | 0.08 | 3.3x | 48 | 66% |
| EMA 크로스오버 fast=23, slow=34 |
-4.1% | -90.9% | 0.18 | -0.05 | 0.5x | 71 | 68% |
| Supertrend period=22, mult=4.6 |
-5.1% | -91.9% | 0.15 | -0.05 | 0.4x | 48 | 66% |
| ROC 모멘텀 n=156, threshold=-0.03 |
-6.1% | -91.4% | 0.10 | -0.07 | 0.3x | 68 | 79% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-11.6% | -94.4% | -0.12 | -0.12 | 0.1x | 175 | 61% |
| Buy and hold | 13.3% | -89.9% | 0.28 | 0.15 | 9.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 57-day average (2.5× volatility)
- Sell — Sell when the close falls back to the 57-day middle average