Trend-Following Backtester · Guide · backtest 한국어
etf · ID
Batavia IDX30 ETF backtest
10 trend-following strategies were compared on the full daily history of Batavia IDX30 ETF. 5 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.4%, MDD -19.8%).
Results by strategy
5 of 10 beat buy and hold (CAGR -2.9%, drawdown -47.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR -1.5%, MDD -38.8%, Sharpe 0.14, 22% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 0.4%, MDD -19.8%, exposure 8%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 8.5%p (CAGR 0.4%, MDD -19.8%, exposure 8%).
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=39, threshold=23 |
-1.5% | -38.8% | 0.14 | -0.04 | 0.9x | 14 | 22% |
| SMA 크로스오버 fast=26, slow=109 |
-0.4% | -33.5% | 0.14 | -0.01 | 1.0x | 14 | 46% |
| 볼린저 밴드 돌파 n=33, k=3.1 |
0.4% | -19.8% | 0.10 | 0.02 | 1.0x | 8 | 8% |
| EMA 크로스오버 fast=57, slow=86 |
-2.6% | -43.1% | 0.07 | -0.06 | 0.8x | 12 | 43% |
| Donchian 채널 돌파 entryN=28, exitN=67 |
-3.5% | -33.0% | 0.04 | -0.11 | 0.8x | 25 | 68% |
| ROC 모멘텀 n=130, threshold=-0.09 |
-8.5% | -63.1% | -0.06 | -0.13 | 0.5x | 52 | 73% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=12, mult=2.7 |
-1.9% | -30.5% | -0.15 | -0.06 | 0.9x | 48 | 30% |
| Supertrend period=29, mult=4.8 |
-12.5% | -68.5% | -0.30 | -0.18 | 0.4x | 65 | 53% |
| Parabolic SAR step=0.045, maxStep=0.06 |
-9.7% | -66.3% | -0.30 | -0.15 | 0.5x | 89 | 47% |
| MACD fast=12, slow=63, signal=16 |
-16.9% | -83.7% | -0.62 | -0.20 | 0.3x | 77 | 51% |
| Buy and hold | -2.9% | -47.3% | 0.13 | -0.06 | 0.8x | 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, 39-day) is ≥ 23
- Sell — Sell when direction flips or the trend weakens (ADX < 23)