Trend-Following Backtester · Guide · backtest 한국어
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ICICI Prudential Nifty Private Bank ETF backtest
10 trend-following strategies were compared on the full daily history of ICICI Prudential Nifty Private Bank ETF. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 8.2%, MDD -17.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.5%, drawdown -48.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 8.2%, MDD -17.4%, Sharpe 0.75, 34% exposure.
CAGR reference leader: Supertrend — CAGR 9.1%, MDD -21.2%, exposure 57%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 31.1%p (CAGR 8.2%, MDD -17.4%, exposure 34%).
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=36, threshold=23 |
8.2% | -17.4% | 0.75 | 0.47 | 1.7x | 8 | 34% |
| Supertrend period=16, mult=2.5 |
9.1% | -21.2% | 0.69 | 0.43 | 1.8x | 34 | 57% |
| MACD fast=14, slow=37, signal=23 |
7.3% | -20.7% | 0.58 | 0.36 | 1.6x | 68 | 48% |
| SMA 크로스오버 fast=56, slow=153 |
7.2% | -18.7% | 0.57 | 0.39 | 1.6x | 13 | 62% |
| EMA 크로스오버 fast=11, slow=35 |
6.4% | -22.1% | 0.51 | 0.29 | 1.6x | 49 | 62% |
| Donchian 채널 돌파 entryN=48, exitN=55 |
5.9% | -19.7% | 0.49 | 0.30 | 1.5x | 11 | 56% |
| ROC 모멘텀 n=42, threshold=-0.02 |
5.3% | -37.7% | 0.41 | 0.14 | 1.4x | 87 | 71% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=29, mult=1.4 |
3.6% | -17.8% | 0.40 | 0.20 | 1.3x | 36 | 35% |
| 볼린저 밴드 돌파 n=45, k=1.4 |
2.8% | -16.9% | 0.29 | 0.16 | 1.2x | 46 | 46% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-2.5% | -35.3% | -0.09 | -0.07 | 0.8x | 64 | 60% |
| Buy and hold | 8.5% | -48.4% | 0.48 | 0.18 | 1.8x | 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, 36-day) is ≥ 23
- Sell — Sell when direction flips or the trend weakens (ADX < 23)