Trend-Following Backtester · Guide · backtest 한국어
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Nippon India ETF Nifty Midcap 150 backtest
10 trend-following strategies were compared on the full daily history of Nippon India ETF Nifty Midcap 150. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 20.8%, MDD -15.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 20.2%, drawdown -38.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 18.7%, MDD -21.2%, Sharpe 1.63, 55% exposure.
CAGR reference leader: Supertrend — CAGR 20.8%, MDD -15.0%, exposure 76%.
Return/drawdown alternative: Supertrend — CAGR is 1.5%p lower than buy and hold, while drawdown improves by 17.2%p (CAGR 20.8%, MDD -15.0%, exposure 76%).
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=90, threshold=11 |
18.7% | -21.2% | 1.63 | 0.88 | 3.6x | 2 | 55% |
| Supertrend period=36, mult=3.7 |
20.8% | -15.0% | 1.60 | 1.38 | 4.1x | 9 | 76% |
| 볼린저 밴드 돌파 n=64, k=1.3 |
17.4% | -13.7% | 1.51 | 1.27 | 3.3x | 23 | 59% |
| EMA 크로스오버 fast=12, slow=77 |
19.5% | -15.7% | 1.51 | 1.24 | 3.8x | 17 | 75% |
| SMA 크로스오버 fast=5, slow=100 |
17.9% | -14.3% | 1.45 | 1.25 | 3.4x | 23 | 71% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=13, mult=1.6 |
15.4% | -10.3% | 1.45 | 1.49 | 2.9x | 19 | 51% |
| ROC 모멘텀 n=67, threshold=-0.05 |
19.7% | -17.1% | 1.44 | 1.15 | 3.8x | 23 | 81% |
| Donchian 채널 돌파 entryN=49, exitN=43 |
16.8% | -24.9% | 1.40 | 0.67 | 3.2x | 7 | 67% |
| MACD fast=19, slow=53, signal=11 |
14.7% | -15.2% | 1.34 | 0.97 | 2.8x | 68 | 50% |
| Parabolic SAR step=0.005, maxStep=0.16 |
9.7% | -23.8% | 0.87 | 0.41 | 2.0x | 65 | 59% |
| Buy and hold | 20.2% | -38.4% | 1.04 | 0.53 | 4.0x | 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, 90-day) is ≥ 11
- Sell — Sell when direction flips or the trend weakens (ADX < 11)