Trend-Following Backtester · Guide · backtest 한국어
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Reksa Dana Premier ETF IDX30 backtest
10 trend-following strategies were compared on the full daily history of Reksa Dana Premier ETF IDX30. 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 2.1%, MDD -10.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 1.5%, drawdown -47.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.1%, MDD -10.4%, Sharpe 0.41, 27% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 2.5%, MDD -25.4%, exposure 45%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 37.2%p (CAGR 2.1%, MDD -10.4%, exposure 27%).
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=38, threshold=27 |
2.1% | -10.4% | 0.41 | 0.20 | 1.3x | 7 | 27% |
| SMA 크로스오버 fast=20, slow=54 |
2.5% | -25.4% | 0.25 | 0.10 | 1.4x | 53 | 45% |
| Donchian 채널 돌파 entryN=26, exitN=56 |
2.2% | -28.9% | 0.22 | 0.08 | 1.4x | 24 | 78% |
| EMA 크로스오버 fast=35, slow=39 |
1.4% | -29.2% | 0.17 | 0.05 | 1.2x | 33 | 67% |
| 볼린저 밴드 돌파 n=40, k=2.7 |
0.3% | -32.6% | 0.08 | 0.01 | 1.0x | 22 | 35% |
| ROC 모멘텀 n=70, threshold=-0.1 |
-0.1% | -40.3% | 0.08 | -0.00 | 1.0x | 59 | 89% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=7, mult=2.7 |
0.3% | -26.4% | 0.08 | 0.01 | 1.0x | 40 | 44% |
| MACD fast=21, slow=70, signal=24 |
-0.6% | -43.7% | 0.02 | -0.01 | 0.9x | 75 | 39% |
| Supertrend period=27, mult=4.1 |
-1.1% | -46.0% | -0.01 | -0.02 | 0.9x | 57 | 41% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-3.1% | -55.0% | -0.17 | -0.06 | 0.6x | 77 | 65% |
| Buy and hold | 1.5% | -47.6% | 0.18 | 0.03 | 1.2x | 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, 38-day) is ≥ 27
- Sell — Sell when direction flips or the trend weakens (ADX < 27)