Trend-Following Backtester · Guide · backtest 한국어
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Reksa Dana Indeks Premier ETF IDX High Dividend 20 backtest
10 trend-following strategies were compared on the full daily history of Reksa Dana Indeks Premier ETF IDX High Dividend 20. 4 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.4%, MDD -9.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 2.5%, drawdown -43.6%).
Sharpe leader (same as main): MACD — CAGR 4.6%, MDD -30.8%, Sharpe 0.42, 46% exposure.
CAGR reference leader: Supertrend — CAGR 5.1%, MDD -20.8%, exposure 58%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 12.8%p (CAGR 2.4%, MDD -9.7%, exposure 11%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=22, slow=58, signal=18 |
4.6% | -30.8% | 0.42 | 0.15 | 1.4x | 53 | 46% |
| Supertrend period=20, mult=4.9 |
5.1% | -20.8% | 0.41 | 0.24 | 1.5x | 31 | 58% |
| 볼린저 밴드 돌파 n=33, k=3 |
2.4% | -9.7% | 0.39 | 0.25 | 1.2x | 10 | 11% |
| Donchian 채널 돌파 entryN=31, exitN=26 |
3.9% | -14.3% | 0.37 | 0.27 | 1.3x | 23 | 49% |
| ADX / DI 방향성 period=47, threshold=18 |
2.3% | -9.5% | 0.34 | 0.24 | 1.2x | 8 | 14% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=27, mult=2.7 |
1.5% | -7.0% | 0.30 | 0.22 | 1.1x | 16 | 8% |
| SMA 크로스오버 fast=34, slow=46 |
2.9% | -19.4% | 0.28 | 0.15 | 1.2x | 43 | 53% |
| EMA 크로스오버 fast=12, slow=60 |
2.2% | -18.4% | 0.23 | 0.12 | 1.2x | 31 | 57% |
| ROC 모멘텀 n=137, threshold=0.07 |
-0.8% | -31.0% | -0.01 | -0.03 | 0.9x | 52 | 33% |
| Parabolic SAR step=0.015, maxStep=0.34 |
-7.8% | -52.8% | -0.49 | -0.15 | 0.5x | 115 | 55% |
| Buy and hold | 2.5% | -43.6% | 0.23 | 0.06 | 1.2x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (22/58) crosses above its 18-day signal line
- Sell — Sell when the MACD line crosses back below the signal line