Trend-Following Backtester · Guide · backtest 한국어
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Reksa Dana Syariah Premier ETF JII backtest
10 trend-following strategies were compared on the full daily history of Reksa Dana Syariah Premier ETF JII. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.3%, MDD -13.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR -1.9%, drawdown -49.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 2.4%, MDD -14.9%, Sharpe 0.33, 26% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 2.5%, MDD -29.7%, exposure 51%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.4%p higher than buy and hold, while drawdown improves by 34.7%p (CAGR 0.3%, MDD -13.1%, exposure 20%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=17, mult=3.6 |
2.4% | -14.9% | 0.33 | 0.16 | 1.4x | 38 | 26% |
| SMA 크로스오버 fast=20, slow=54 |
2.5% | -29.7% | 0.27 | 0.09 | 1.4x | 51 | 51% |
| Donchian 채널 돌파 entryN=42, exitN=50 |
1.5% | -20.2% | 0.18 | 0.07 | 1.2x | 28 | 53% |
| ADX / DI 방향성 period=37, threshold=16 |
0.5% | -15.6% | 0.11 | 0.03 | 1.1x | 24 | 12% |
| 볼린저 밴드 돌파 n=54, k=2.4 |
0.3% | -13.1% | 0.08 | 0.03 | 1.0x | 26 | 20% |
| EMA 크로스오버 fast=26, slow=53 |
-1.0% | -33.4% | -0.02 | -0.03 | 0.9x | 56 | 49% |
| Supertrend period=10, mult=5 |
-1.5% | -41.9% | -0.05 | -0.04 | 0.8x | 74 | 52% |
| MACD fast=19, slow=53, signal=40 |
-1.8% | -36.7% | -0.08 | -0.05 | 0.8x | 97 | 51% |
| ROC 모멘텀 n=80, threshold=-0.08 |
-2.9% | -48.7% | -0.12 | -0.06 | 0.7x | 104 | 80% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-8.8% | -72.2% | -0.63 | -0.12 | 0.3x | 194 | 54% |
| Buy and hold | -1.9% | -49.6% | 0.02 | -0.04 | 0.8x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 45-day average + 3.6× volatility (Keltner top)
- Sell — Sell when the close falls back to the 45-day average