Trend-Following Backtester · Guide · backtest 한국어
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Mirae Asset Nifty 50 ETF backtest
10 trend-following strategies were compared on the full daily history of Mirae Asset Nifty 50 ETF. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 12.0%, MDD -18.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 11.3%, drawdown -39.0%).
Sharpe leader (same as main): Supertrend — CAGR 12.0%, MDD -18.7%, Sharpe 0.99, 69% exposure.
Return/drawdown alternative: Supertrend — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 20.4%p (CAGR 12.0%, MDD -18.7%, exposure 69%).
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=27, mult=4.8 |
12.0% | -18.7% | 0.99 | 0.65 | 2.4x | 12 | 69% |
| EMA 크로스오버 fast=22, slow=57 |
11.3% | -19.2% | 0.99 | 0.59 | 2.3x | 20 | 70% |
| SMA 크로스오버 fast=12, slow=61 |
10.0% | -18.0% | 0.98 | 0.56 | 2.1x | 26 | 59% |
| 볼린저 밴드 돌파 n=22, k=2.8 |
2.9% | -4.0% | 0.96 | 0.74 | 1.3x | 8 | 7% |
| Donchian 채널 돌파 entryN=50, exitN=51 |
9.9% | -17.5% | 0.90 | 0.56 | 2.1x | 10 | 59% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=21, mult=0.9 |
8.3% | -15.1% | 0.81 | 0.55 | 1.9x | 40 | 59% |
| ADX / DI 방향성 period=35, threshold=5 |
9.7% | -21.5% | 0.76 | 0.45 | 2.1x | 46 | 80% |
| MACD fast=27, slow=42, signal=27 |
7.0% | -20.1% | 0.72 | 0.35 | 1.7x | 54 | 46% |
| ROC 모멘텀 n=74, threshold=-0.02 |
7.9% | -17.0% | 0.71 | 0.47 | 1.8x | 56 | 73% |
| Parabolic SAR step=0.005, maxStep=0.12 |
1.5% | -28.0% | 0.18 | 0.05 | 1.1x | 60 | 55% |
| Buy and hold | 11.3% | -39.0% | 0.64 | 0.29 | 2.3x | 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) — 27-day volatility, 4.8× band
- Sell — Sell when price drops below the trend line (flips down)