Trend-Following Backtester · Guide · backtest 한국어
etf · IN
Powergrid Infrastructure Invesment Trust backtest
10 trend-following strategies were compared on the full daily history of Powergrid Infrastructure Invesment Trust. 9 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.0%, MDD -4.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR -0.8%, drawdown -46.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 3.7%, MDD -10.8%, Sharpe 0.53, 39% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.5%p higher than buy and hold, while drawdown improves by 35.6%p (CAGR 1.0%, MDD -4.7%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=44, slow=87 |
3.7% | -10.8% | 0.53 | 0.34 | 1.2x | 5 | 39% |
| Donchian 채널 돌파 entryN=111, exitN=19 |
2.2% | -7.2% | 0.50 | 0.30 | 1.1x | 5 | 13% |
| SMA 크로스오버 fast=47, slow=155 |
3.2% | -10.2% | 0.49 | 0.31 | 1.2x | 5 | 33% |
| ROC 모멘텀 n=142, threshold=0 |
3.0% | -9.9% | 0.46 | 0.31 | 1.2x | 15 | 34% |
| ADX / DI 방향성 period=18, threshold=30 |
2.1% | -9.8% | 0.43 | 0.21 | 1.1x | 17 | 14% |
| 볼린저 밴드 돌파 n=27, k=3.4 |
1.0% | -4.7% | 0.42 | 0.22 | 1.1x | 3 | 3% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=23, mult=3 |
2.3% | -11.3% | 0.41 | 0.21 | 1.1x | 9 | 23% |
| Parabolic SAR step=0.01, maxStep=0.02 |
2.3% | -26.5% | 0.30 | 0.09 | 1.1x | 23 | 47% |
| Supertrend period=20, mult=3.8 |
2.0% | -27.5% | 0.28 | 0.07 | 1.1x | 15 | 51% |
| MACD fast=17, slow=21, signal=10 |
-3.8% | -34.7% | -0.38 | -0.11 | 0.8x | 77 | 47% |
| Buy and hold | -0.8% | -46.4% | -0.00 | -0.02 | 1.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 44-day EMA crosses above the 87-day EMA
- Sell — Sell when the 44-day EMA falls below the 87-day EMA