Trend-Following Backtester · Guide · backtest 한국어
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ICICI Prudential Nifty FMCG ETF backtest
10 trend-following strategies were compared on the full daily history of ICICI Prudential Nifty FMCG ETF. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.6%, MDD -10.0%).
Results by strategy
5 of 10 beat buy and hold (CAGR 6.4%, drawdown -30.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.6%, MDD -10.0%, Sharpe 1.13, 45% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 9.7%, MDD -15.9%, exposure 61%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.3%p higher than buy and hold, while drawdown improves by 20.1%p (CAGR 9.6%, MDD -10.0%, exposure 45%).
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=61, exitN=29 |
9.6% | -10.0% | 1.13 | 0.96 | 1.6x | 4 | 45% |
| SMA 크로스오버 fast=29, slow=161 |
9.7% | -15.9% | 1.03 | 0.61 | 1.6x | 4 | 61% |
| ADX / DI 방향성 period=13, threshold=38 |
5.3% | -7.9% | 1.02 | 0.68 | 1.3x | 12 | 17% |
| Supertrend period=6, mult=3.4 |
9.1% | -13.9% | 0.90 | 0.66 | 1.6x | 10 | 69% |
| EMA 크로스오버 fast=55, slow=120 |
8.1% | -17.2% | 0.88 | 0.47 | 1.5x | 4 | 59% |
| 볼린저 밴드 돌파 n=26, k=2.7 |
4.4% | -10.2% | 0.86 | 0.43 | 1.2x | 10 | 19% |
| ROC 모멘텀 n=137, threshold=0.02 |
6.5% | -22.8% | 0.76 | 0.29 | 1.4x | 16 | 53% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=15, mult=1.9 |
4.0% | -8.4% | 0.68 | 0.48 | 1.2x | 14 | 23% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-1.8% | -27.7% | -0.13 | -0.06 | 0.9x | 50 | 57% |
| MACD fast=11, slow=52, signal=19 |
-4.3% | -26.3% | -0.45 | -0.16 | 0.8x | 66 | 46% |
| Buy and hold | 6.4% | -30.1% | 0.54 | 0.21 | 1.4x | 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 61 days
- Sell — Sell when price breaks below the lowest low of the last 29 days