Trend-Following Backtester · Guide · backtest 한국어
etf · IN
Nippon India ETF Nifty PSU Bank BeES backtest
10 trend-following strategies were compared on the full daily history of Nippon India ETF Nifty PSU Bank BeES. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.6%, MDD -42.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 9.0%, drawdown -94.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.6%, MDD -42.3%, Sharpe 0.66, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 52.6%p (CAGR 12.6%, MDD -42.3%, exposure 57%).
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=62, slow=169 |
12.6% | -42.3% | 0.66 | 0.30 | 8.1x | 24 | 57% |
| MACD fast=14, slow=35, signal=17 |
12.6% | -43.5% | 0.63 | 0.29 | 8.0x | 196 | 50% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=18, mult=3 |
8.1% | -38.7% | 0.52 | 0.21 | 4.0x | 54 | 33% |
| ROC 모멘텀 n=123, threshold=-0.01 |
8.6% | -53.4% | 0.49 | 0.16 | 4.2x | 140 | 59% |
| Donchian 채널 돌파 entryN=101, exitN=27 |
6.6% | -39.5% | 0.47 | 0.17 | 3.1x | 28 | 31% |
| 볼린저 밴드 돌파 n=26, k=2.6 |
5.9% | -31.5% | 0.46 | 0.19 | 2.8x | 58 | 17% |
| EMA 크로스오버 fast=77, slow=151 |
7.6% | -53.0% | 0.45 | 0.14 | 3.6x | 17 | 58% |
| Supertrend period=13, mult=2.3 |
6.5% | -52.4% | 0.40 | 0.12 | 3.0x | 180 | 49% |
| ADX / DI 방향성 period=19, threshold=19 |
5.1% | -54.5% | 0.35 | 0.09 | 2.4x | 170 | 39% |
| Parabolic SAR step=0.01, maxStep=0.36 |
1.8% | -52.1% | 0.19 | 0.03 | 1.4x | 244 | 49% |
| Buy and hold | 9.0% | -94.9% | 0.28 | 0.09 | 4.5x | 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 62-day average price crosses above the 169-day average
- Sell — Sell (to cash) when the 62-day average falls below the 169-day average