Trend-Following Backtester · Guide · backtest 한국어
etf · JP
Nomura Asset NEXT FUNDS NIFTY 50 Linked ETF (1678) backtest
10 trend-following strategies were compared on the full daily history of Nomura Asset NEXT FUNDS NIFTY 50 Linked ETF (1678). 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.5%, drawdown -43.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.2%, MDD -29.0%, Sharpe 0.43, 54% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=78, exitN=62 |
5.2% | -29.0% | 0.43 | 0.18 | 2.3x | 26 | 54% |
| 볼린저 밴드 돌파 n=69, k=2.4 |
4.0% | -19.5% | 0.40 | 0.20 | 1.9x | 34 | 32% |
| EMA 크로스오버 fast=23, slow=204 |
4.7% | -33.7% | 0.37 | 0.14 | 2.2x | 28 | 60% |
| SMA 크로스오버 fast=21, slow=59 |
4.4% | -30.9% | 0.36 | 0.14 | 2.0x | 69 | 58% |
| Parabolic SAR step=0.005, maxStep=0.36 |
3.1% | -37.5% | 0.28 | 0.08 | 1.7x | 114 | 53% |
| ROC 모멘텀 n=162, threshold=0.05 |
2.8% | -31.6% | 0.28 | 0.09 | 1.6x | 108 | 46% |
| Supertrend period=12, mult=4.7 |
1.3% | -35.0% | 0.16 | 0.04 | 1.2x | 65 | 53% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=26, mult=2.9 |
1.2% | -41.8% | 0.16 | 0.03 | 1.2x | 68 | 35% |
| ADX / DI 방향성 period=39, threshold=18 |
0.9% | -26.6% | 0.15 | 0.04 | 1.2x | 36 | 13% |
| MACD fast=14, slow=24, signal=17 |
1.1% | -47.0% | 0.15 | 0.02 | 1.2x | 234 | 49% |
| Buy and hold | 7.5% | -43.6% | 0.44 | 0.17 | 3.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 78 days
- Sell — Sell when price breaks below the lowest low of the last 62 days