Trend-Following Backtester · Guide · backtest 한국어
etf · IN
ICICI Prudential Nifty Private Bank ETF backtest
10 trend-following strategies were compared on the full daily history of ICICI Prudential Nifty Private Bank ETF. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 8.3%, MDD -17.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.4%, drawdown -48.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 8.3%, MDD -17.4%, Sharpe 0.75, 35% exposure.
CAGR reference leader: Supertrend — CAGR 9.2%, MDD -21.2%, exposure 57%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 31.1%p (CAGR 8.3%, MDD -17.4%, exposure 35%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=36, threshold=23 |
8.3% | -17.4% | 0.75 | 0.48 | 1.7x | 8 | 35% |
| Supertrend period=16, mult=2.5 |
9.2% | -21.2% | 0.70 | 0.44 | 1.8x | 34 | 57% |
| MACD fast=14, slow=37, signal=23 |
7.4% | -20.7% | 0.58 | 0.36 | 1.6x | 68 | 49% |
| SMA 크로스오버 fast=56, slow=153 |
7.3% | -18.7% | 0.57 | 0.39 | 1.6x | 12 | 62% |
| EMA 크로스오버 fast=11, slow=35 |
7.0% | -22.1% | 0.55 | 0.32 | 1.6x | 46 | 62% |
| Donchian 채널 돌파 entryN=48, exitN=55 |
5.8% | -19.7% | 0.48 | 0.30 | 1.5x | 11 | 55% |
| ROC 모멘텀 n=42, threshold=-0.02 |
5.7% | -37.7% | 0.43 | 0.15 | 1.5x | 83 | 71% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=29, mult=1.4 |
3.7% | -17.8% | 0.40 | 0.21 | 1.3x | 36 | 35% |
| 볼린저 밴드 돌파 n=45, k=1.4 |
2.8% | -16.9% | 0.29 | 0.17 | 1.2x | 46 | 46% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-2.5% | -35.3% | -0.09 | -0.07 | 0.8x | 64 | 61% |
| Buy and hold | 8.4% | -48.4% | 0.47 | 0.17 | 1.8x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 36-day) is ≥ 23
- Sell — Sell when direction flips or the trend weakens (ADX < 23)