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 1.4%, MDD -12.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.9%, drawdown -86.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.4%, MDD -12.5%, Sharpe 0.28, 9% exposure.
CAGR reference leader: Supertrend — CAGR 3.3%, MDD -41.8%, exposure 56%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.3%p higher than buy and hold, while drawdown improves by 74.1%p (CAGR 1.4%, MDD -12.5%, exposure 9%).
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=30, threshold=25 |
1.4% | -12.5% | 0.28 | 0.11 | 1.2x | 16 | 9% |
| Supertrend period=14, mult=1.4 |
3.3% | -41.8% | 0.27 | 0.08 | 1.6x | 234 | 56% |
| SMA 크로스오버 fast=40, slow=242 |
2.3% | -37.5% | 0.23 | 0.06 | 1.4x | 13 | 44% |
| EMA 크로스오버 fast=45, slow=207 |
1.7% | -40.1% | 0.18 | 0.04 | 1.3x | 13 | 45% |
| MACD fast=5, slow=50, signal=6 |
1.3% | -60.0% | 0.16 | 0.02 | 1.2x | 364 | 53% |
| Donchian 채널 돌파 entryN=8, exitN=69 |
0.8% | -54.3% | 0.14 | 0.01 | 1.1x | 45 | 83% |
| Parabolic SAR step=0.025, maxStep=0.26 |
0.7% | -58.3% | 0.13 | 0.01 | 1.1x | 328 | 53% |
| 볼린저 밴드 돌파 n=17, k=3.2 |
0.1% | -14.9% | 0.04 | 0.00 | 1.0x | 6 | 2% |
| ROC 모멘텀 n=81, threshold=-0.03 |
-1.2% | -58.4% | 0.02 | -0.02 | 0.8x | 131 | 61% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=9, mult=4 |
-0.1% | -18.1% | -0.00 | -0.01 | 1.0x | 8 | 2% |
| Buy and hold | -3.9% | -86.5% | 0.01 | -0.05 | 0.6x | 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, 30-day) is ≥ 25
- Sell — Sell when direction flips or the trend weakens (ADX < 25)