Trend-Following Backtester · Guide · backtest 한국어
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Nippon India Nifty Pharma ETF Units Exchange Traded Fund backtest
10 trend-following strategies were compared on the full daily history of Nippon India Nifty Pharma ETF Units Exchange Traded Fund. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 17.2%, MDD -9.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 13.2%, drawdown -21.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 17.2%, MDD -9.7%, Sharpe 1.61, 58% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.0%p higher than buy and hold, while drawdown improves by 11.4%p (CAGR 17.2%, MDD -9.7%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=42, slow=111 |
17.2% | -9.7% | 1.61 | 1.77 | 2.3x | 9 | 58% |
| Donchian 채널 돌파 entryN=47, exitN=62 |
12.4% | -12.1% | 1.53 | 1.03 | 1.8x | 3 | 34% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=23, mult=2.2 |
9.3% | -8.2% | 1.35 | 1.13 | 1.6x | 7 | 26% |
| EMA 크로스오버 fast=31, slow=145 |
13.8% | -13.1% | 1.26 | 1.05 | 1.9x | 7 | 60% |
| ROC 모멘텀 n=132, threshold=0.09 |
10.0% | -11.7% | 1.23 | 0.85 | 1.6x | 11 | 35% |
| Supertrend period=16, mult=4.3 |
12.9% | -16.4% | 1.17 | 0.79 | 1.9x | 5 | 62% |
| 볼린저 밴드 돌파 n=41, k=2.6 |
6.4% | -12.1% | 1.10 | 0.53 | 1.4x | 9 | 20% |
| MACD fast=18, slow=90, signal=17 |
8.5% | -17.4% | 0.89 | 0.49 | 1.5x | 38 | 48% |
| ADX / DI 방향성 period=39, threshold=25 |
5.7% | -17.5% | 0.62 | 0.33 | 1.3x | 2 | 47% |
| Parabolic SAR step=0.005, maxStep=0.34 |
5.4% | -18.1% | 0.59 | 0.30 | 1.3x | 41 | 49% |
| Buy and hold | 13.2% | -21.1% | 0.93 | 0.63 | 1.9x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 42-day average price crosses above the 111-day average
- Sell — Sell (to cash) when the 42-day average falls below the 111-day average