Trend-Following Backtester · Guide · backtest 한국어
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Motilal Oswal NASDAQ 100 ETF Exchange Traded Fund Units backtest
10 trend-following strategies were compared on the full daily history of Motilal Oswal NASDAQ 100 ETF Exchange Traded Fund Units. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 25.5%, drawdown -90.3%).
Sharpe leader (same as main): Supertrend — CAGR 16.2%, MDD -28.5%, Sharpe 0.97, 68% 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=18, mult=3.4 |
16.2% | -28.5% | 0.97 | 0.57 | 10.1x | 47 | 68% |
| MACD fast=52, slow=100, signal=18 |
13.9% | -29.9% | 0.89 | 0.47 | 7.5x | 82 | 56% |
| SMA 크로스오버 fast=36, slow=55 |
12.5% | -39.9% | 0.73 | 0.31 | 6.1x | 62 | 70% |
| Donchian 채널 돌파 entryN=46, exitN=26 |
9.3% | -22.5% | 0.69 | 0.41 | 4.0x | 38 | 44% |
| 볼린저 밴드 돌파 n=39, k=1.7 |
9.4% | -37.3% | 0.67 | 0.25 | 4.0x | 94 | 51% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=30, mult=1.6 |
8.5% | -26.9% | 0.64 | 0.31 | 3.5x | 74 | 46% |
| ROC 모멘텀 n=121, threshold=-0.09 |
6.0% | -92.2% | 0.55 | 0.06 | 2.5x | 31 | 90% |
| EMA 크로스오버 fast=57, slow=106 |
4.3% | -90.4% | 0.50 | 0.05 | 1.9x | 15 | 84% |
| ADX / DI 방향성 period=49, threshold=5 |
2.9% | -91.9% | 0.46 | 0.03 | 1.6x | 71 | 85% |
| Parabolic SAR step=0.015, maxStep=0.36 |
-3.2% | -91.7% | 0.26 | -0.04 | 0.6x | 245 | 56% |
| Buy and hold | 25.5% | -90.3% | 0.34 | 0.28 | 33.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 18-day volatility, 3.4× band
- Sell — Sell when price drops below the trend line (flips down)