Trend-Following Backtester · Guide · backtest 한국어
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Aditya Birla Sun Life Nifty 50 ETF backtest
10 trend-following strategies were compared on the full daily history of Aditya Birla Sun Life Nifty 50 ETF. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR -4.5%, drawdown -98.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR -43.1%, MDD -100.0%, Sharpe 2.25, 71% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 121.8%, MDD -99.9%, exposure 68%.
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=20, exitN=65 |
-43.1% | -100.0% | 2.25 | -0.43 | 0.0x | 28 | 71% |
| Supertrend period=4, mult=5 |
-63.5% | -100.0% | 2.17 | -0.63 | 0.0x | 48 | 71% |
| SMA 크로스오버 fast=54, slow=55 |
121.8% | -99.9% | 2.16 | 1.22 | 169007.8x | 437 | 68% |
| ROC 모멘텀 Hold-like · Exposure 96% n=9, threshold=-0.08 |
-89.6% | -100.0% | 2.08 | -0.90 | 0.0x | 203 | 96% |
| EMA 크로스오버 fast=57, slow=61 |
-97.5% | -100.0% | 1.58 | -0.97 | 0.0x | 71 | 59% |
| MACD fast=15, slow=29, signal=15 |
-100.0% | -100.0% | 1.33 | -1.00 | 0.0x | 298 | 50% |
| Parabolic SAR step=0.04, maxStep=0.14 |
-100.0% | -100.0% | 0.60 | -1.00 | 0.0x | 515 | 46% |
| ADX / DI 방향성 period=20, threshold=15 |
-54.1% | -100.0% | 0.10 | -0.54 | 0.0x | 117 | 40% |
| 볼린저 밴드 돌파 n=11, k=2.5 |
-97.9% | -100.0% | -0.10 | -0.98 | 0.0x | 96 | 6% |
| Keltner 채널 돌파 emaPeriod=66, atrPeriod=19, mult=4 |
-98.9% | -100.0% | -1.41 | -0.99 | 0.0x | 70 | 9% |
| Buy and hold | -4.5% | -98.1% | 2.30 | -0.05 | 0.5x | 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 20 days
- Sell — Sell when price breaks below the lowest low of the last 65 days