Trend-Following Backtester · Guide · backtest 한국어
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Reksa Dana Indeks Premier ETF Index IDX30 backtest
10 trend-following strategies were compared on the full daily history of Reksa Dana Indeks Premier ETF Index IDX30. 6 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 1.7%, MDD -3.8%).
Results by strategy
6 of 10 beat buy and hold (CAGR 0.6%, drawdown -39.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 1.7%, MDD -3.8%, Sharpe 0.56, 3% exposure.
CAGR reference leader: Parabolic SAR — CAGR 5.6%, MDD -19.8%, exposure 53%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 35.7%p (CAGR 1.7%, MDD -3.8%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=27, threshold=0.12 |
1.7% | -3.8% | 0.56 | 0.45 | 1.1x | 12 | 3% |
| Parabolic SAR step=0.005, maxStep=0.14 |
5.6% | -19.8% | 0.52 | 0.28 | 1.4x | 29 | 53% |
| 볼린저 밴드 돌파 n=39, k=2.8 |
2.2% | -16.0% | 0.36 | 0.14 | 1.1x | 12 | 15% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=22, mult=3.7 |
1.8% | -12.7% | 0.27 | 0.14 | 1.1x | 24 | 23% |
| SMA 크로스오버 fast=26, slow=86 |
1.6% | -23.8% | 0.20 | 0.07 | 1.1x | 16 | 51% |
| EMA 크로스오버 fast=28, slow=30 |
0.8% | -21.8% | 0.13 | 0.04 | 1.0x | 25 | 53% |
| Donchian 채널 돌파 entryN=25, exitN=53 |
0.2% | -20.5% | 0.08 | 0.01 | 1.0x | 21 | 63% |
| ADX / DI 방향성 period=39, threshold=24 |
0.1% | -9.5% | 0.05 | 0.01 | 1.0x | 8 | 10% |
| Supertrend period=24, mult=4.1 |
-5.7% | -43.1% | -0.36 | -0.13 | 0.7x | 61 | 54% |
| MACD fast=18, slow=43, signal=16 |
-5.7% | -51.9% | -0.40 | -0.11 | 0.7x | 61 | 47% |
| Buy and hold | 0.6% | -39.5% | 0.14 | 0.02 | 1.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 27-day return is greater than 12%
- Sell — Sell when the 27-day return drops to 12% or below