Trend-Following Backtester · Guide · backtest 한국어
etf · US
NXG NextGen Infrastructure Income Fund backtest
10 trend-following strategies were compared on the full daily history of NXG NextGen Infrastructure Income Fund. 10 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 1.3%, MDD -7.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.3%, drawdown -86.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.3%, MDD -7.7%, Sharpe 0.30, 6% exposure.
CAGR reference leader: Supertrend — CAGR 3.5%, MDD -42.3%, exposure 57%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.6%p higher than buy and hold, while drawdown improves by 78.9%p (CAGR 1.3%, MDD -7.7%, exposure 6%).
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=24, threshold=31 |
1.3% | -7.7% | 0.30 | 0.17 | 1.2x | 10 | 6% |
| Supertrend period=21, mult=1.4 |
3.5% | -42.3% | 0.27 | 0.08 | 1.6x | 238 | 57% |
| SMA 크로스오버 fast=45, slow=237 |
2.8% | -39.2% | 0.25 | 0.07 | 1.5x | 11 | 45% |
| Donchian 채널 돌파 entryN=8, exitN=38 |
2.3% | -50.0% | 0.21 | 0.04 | 1.4x | 60 | 77% |
| 볼린저 밴드 돌파 n=16, k=2.9 |
0.9% | -17.1% | 0.20 | 0.05 | 1.1x | 18 | 5% |
| MACD fast=6, slow=32, signal=6 |
1.7% | -51.6% | 0.18 | 0.03 | 1.3x | 350 | 52% |
| EMA 크로스오버 fast=46, slow=207 |
1.1% | -39.9% | 0.15 | 0.03 | 1.2x | 13 | 46% |
| ROC 모멘텀 n=84, threshold=-0.03 |
1.0% | -49.3% | 0.14 | 0.02 | 1.1x | 108 | 61% |
| Parabolic SAR step=0.03, maxStep=0.18 |
0.8% | -56.7% | 0.13 | 0.01 | 1.1x | 356 | 53% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=26, mult=3.8 |
0.1% | -21.6% | 0.04 | 0.00 | 1.0x | 12 | 4% |
| Buy and hold | -4.3% | -86.5% | 0.00 | -0.05 | 0.5x | 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, 24-day) is ≥ 31
- Sell — Sell when direction flips or the trend weakens (ADX < 31)