Trend-Following Backtester · Guide · backtest 한국어
etf · ID
Reksa Dana Indeks Premier ETF FTSE Indonesia ESG backtest
10 trend-following strategies were compared on the full daily history of Reksa Dana Indeks Premier ETF FTSE Indonesia ESG. 3 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 1.4%, MDD -8.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR -1.8%, drawdown -50.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.4%, MDD -8.2%, Sharpe 0.30, 4% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 1.6%, MDD -39.5%, exposure 54%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.3%p higher than buy and hold, while drawdown improves by 42.2%p (CAGR 1.4%, MDD -8.2%, exposure 4%).
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=31, threshold=32 |
1.4% | -8.2% | 0.30 | 0.17 | 1.1x | 5 | 4% |
| SMA 크로스오버 fast=57, slow=153 |
1.6% | -39.5% | 0.23 | 0.04 | 1.1x | 10 | 54% |
| Donchian 채널 돌파 entryN=19, exitN=82 |
-2.9% | -47.6% | 0.14 | -0.06 | 0.9x | 11 | 76% |
| EMA 크로스오버 fast=40, slow=83 |
-5.1% | -46.8% | 0.02 | -0.11 | 0.7x | 14 | 53% |
| ROC 모멘텀 n=95, threshold=-0.1 |
-8.1% | -53.1% | 0.01 | -0.15 | 0.6x | 43 | 81% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=8, mult=4 |
-1.4% | -12.2% | -0.26 | -0.11 | 0.9x | 10 | 7% |
| Parabolic SAR step=0.01, maxStep=0.24 |
-14.0% | -63.3% | -0.29 | -0.22 | 0.4x | 54 | 46% |
| Supertrend period=38, mult=4.2 |
-10.7% | -55.2% | -0.35 | -0.19 | 0.5x | 36 | 46% |
| 볼린저 밴드 돌파 n=83, k=1.8 |
-17.7% | -69.5% | -0.71 | -0.25 | 0.3x | 22 | 32% |
| MACD fast=17, slow=43, signal=17 |
-28.1% | -87.6% | -0.91 | -0.32 | 0.2x | 74 | 45% |
| Buy and hold | -1.8% | -50.3% | 0.18 | -0.04 | 0.9x | 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, 31-day) is ≥ 32
- Sell — Sell when direction flips or the trend weakens (ADX < 32)