Trend-Following Backtester · Guide · backtest 한국어
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SBI-ETF Nifty 50 backtest
10 trend-following strategies were compared on the full daily history of SBI-ETF Nifty 50. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.6%, MDD -16.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 10.6%, drawdown -34.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.6%, MDD -16.2%, Sharpe 1.08, 66% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.0%p higher than buy and hold, while drawdown improves by 18.0%p (CAGR 10.6%, MDD -16.2%, exposure 66%).
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=10, slow=85 |
10.6% | -16.2% | 1.08 | 0.66 | 3.0x | 35 | 66% |
| EMA 크로스오버 fast=18, slow=55 |
10.3% | -15.7% | 1.03 | 0.66 | 2.9x | 33 | 68% |
| ADX / DI 방향성 period=23, threshold=32 |
7.1% | -11.8% | 0.90 | 0.60 | 2.1x | 32 | 41% |
| 볼린저 밴드 돌파 n=60, k=2.1 |
6.3% | -7.5% | 0.84 | 0.84 | 2.0x | 34 | 43% |
| Donchian 채널 돌파 entryN=70, exitN=38 |
6.4% | -12.5% | 0.80 | 0.51 | 2.0x | 12 | 43% |
| Supertrend period=29, mult=5 |
7.5% | -15.1% | 0.76 | 0.49 | 2.2x | 24 | 68% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=24, mult=2.7 |
3.8% | -11.1% | 0.59 | 0.34 | 1.5x | 28 | 34% |
| ROC 모멘텀 n=89, threshold=-0.03 |
5.6% | -22.4% | 0.57 | 0.25 | 1.8x | 53 | 76% |
| MACD fast=30, slow=52, signal=14 |
4.4% | -16.0% | 0.52 | 0.27 | 1.6x | 103 | 50% |
| Parabolic SAR step=0.005, maxStep=0.2 |
1.6% | -23.1% | 0.21 | 0.07 | 1.2x | 89 | 52% |
| Buy and hold | 10.6% | -34.2% | 0.74 | 0.31 | 3.0x | 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 10-day average price crosses above the 85-day average
- Sell — Sell (to cash) when the 10-day average falls below the 85-day average