Trend-Following Backtester · Guide · backtest 한국어
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Axis NIFTY IT ETF backtest
10 trend-following strategies were compared on the full daily history of Axis NIFTY IT ETF. 7 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.7%, MDD -10.2%).
Results by strategy
7 of 10 beat buy and hold (CAGR 5.1%, drawdown -42.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 5.7%, MDD -10.2%, Sharpe 0.89, 11% exposure.
CAGR reference leader: Supertrend — CAGR 10.6%, MDD -21.1%, exposure 51%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 32.0%p (CAGR 5.7%, MDD -10.2%, exposure 11%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=20, mult=3.8 |
5.7% | -10.2% | 0.89 | 0.57 | 1.3x | 4 | 11% |
| ADX / DI 방향성 period=35, threshold=30 |
4.6% | -6.6% | 0.82 | 0.70 | 1.3x | 2 | 7% |
| Supertrend period=16, mult=2 |
10.6% | -21.1% | 0.78 | 0.50 | 1.7x | 45 | 51% |
| 볼린저 밴드 돌파 n=23, k=3.4 |
3.6% | -5.4% | 0.76 | 0.66 | 1.2x | 2 | 5% |
| SMA 크로스오버 fast=12, slow=25 |
9.6% | -24.5% | 0.68 | 0.39 | 1.6x | 45 | 53% |
| Donchian 채널 돌파 entryN=42, exitN=16 |
7.8% | -17.7% | 0.68 | 0.44 | 1.5x | 14 | 39% |
| EMA 크로스오버 fast=11, slow=37 |
9.1% | -21.2% | 0.68 | 0.43 | 1.6x | 27 | 56% |
| ROC 모멘텀 n=146, threshold=0.02 |
6.4% | -16.4% | 0.56 | 0.39 | 1.4x | 26 | 46% |
| MACD fast=14, slow=23, signal=14 |
6.5% | -18.0% | 0.51 | 0.36 | 1.4x | 71 | 50% |
| Parabolic SAR step=0.01, maxStep=0.24 |
0.5% | -27.5% | 0.11 | 0.02 | 1.0x | 75 | 54% |
| Buy and hold | 5.1% | -42.2% | 0.34 | 0.12 | 1.3x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 26-day average + 3.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 26-day average