Trend-Following Backtester · Guide · backtest 한국어
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Nippon India ETF Nifty Bank BeES backtest
10 trend-following strategies were compared on the full daily history of Nippon India ETF Nifty Bank BeES. 0 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 14.8%, drawdown -90.0%).
Sharpe leader (same as main): MACD — CAGR 9.4%, MDD -31.0%, Sharpe 0.67, 49% 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 |
|---|---|---|---|---|---|---|---|
| MACD fast=15, slow=46, signal=16 |
9.4% | -31.0% | 0.67 | 0.30 | 4.9x | 190 | 49% |
| 볼린저 밴드 돌파 n=18, k=2.4 |
6.2% | -15.9% | 0.62 | 0.39 | 2.9x | 102 | 22% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=18, mult=3.3 |
4.8% | -23.8% | 0.51 | 0.20 | 2.3x | 50 | 18% |
| ADX / DI 방향성 period=31, threshold=19 |
4.8% | -31.5% | 0.45 | 0.15 | 2.3x | 48 | 34% |
| ROC 모멘텀 n=132, threshold=0.17 |
3.8% | -27.9% | 0.40 | 0.13 | 1.9x | 84 | 25% |
| Donchian 채널 돌파 entryN=5, exitN=38 |
-0.4% | -92.7% | 0.33 | -0.00 | 0.9x | 85 | 87% |
| Supertrend period=13, mult=3.4 |
-1.2% | -91.7% | 0.30 | -0.01 | 0.8x | 93 | 58% |
| SMA 크로스오버 fast=23, slow=81 |
7.5% | -90.1% | 0.26 | 0.08 | 3.6x | 63 | 65% |
| EMA 크로스오버 fast=13, slow=49 |
-2.7% | -91.7% | 0.25 | -0.03 | 0.6x | 89 | 66% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-8.5% | -94.8% | 0.02 | -0.09 | 0.2x | 148 | 57% |
| Buy and hold | 14.8% | -90.0% | 0.29 | 0.16 | 11.2x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (15/46) crosses above its 16-day signal line
- Sell — Sell when the MACD line crosses back below the signal line