Trend-Following Backtester · Guide · backtest 한국어
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Reksa Dana Indeks Simas ETF IDX30 backtest
10 trend-following strategies were compared on the full daily history of Reksa Dana Indeks Simas ETF IDX30. 7 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 27.4%, MDD -35.2%).
Results by strategy
7 of 10 beat buy and hold (CAGR -2.0%, drawdown -87.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 34.3%, MDD -39.8%, Sharpe 0.98, 1% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 36.2%p higher than buy and hold, while drawdown improves by 47.9%p (CAGR 27.4%, MDD -35.2%, exposure 16%).
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=1, threshold=0.24 |
34.3% | -39.8% | 0.98 | 0.86 | 10.7x | 6 | 1% |
| ADX / DI 방향성 period=4, threshold=71 |
27.4% | -35.2% | 0.85 | 0.78 | 7.0x | 80 | 16% |
| Keltner 채널 돌파 emaPeriod=5, atrPeriod=24, mult=3.8 |
17.8% | -54.7% | 0.64 | 0.33 | 3.7x | 32 | 10% |
| Parabolic SAR step=0.03, maxStep=0.16 |
18.8% | -56.1% | 0.61 | 0.33 | 4.0x | 94 | 45% |
| Donchian 채널 돌파 entryN=130, exitN=7 |
13.3% | -41.2% | 0.57 | 0.32 | 2.7x | 18 | 5% |
| Supertrend period=28, mult=3.7 |
15.7% | -59.4% | 0.55 | 0.26 | 3.2x | 99 | 50% |
| 볼린저 밴드 돌파 n=9, k=2.3 |
11.9% | -60.1% | 0.48 | 0.20 | 2.5x | 70 | 20% |
| MACD fast=8, slow=51, signal=23 |
-3.7% | -72.6% | 0.09 | -0.05 | 0.7x | 105 | 47% |
| SMA 크로스오버 fast=8, slow=17 |
-3.8% | -73.2% | 0.08 | -0.05 | 0.7x | 136 | 48% |
| EMA 크로스오버 fast=1, slow=13 |
-8.1% | -82.5% | -0.02 | -0.10 | 0.5x | 207 | 49% |
| Buy and hold | -2.0% | -87.7% | 0.22 | -0.02 | 0.9x | 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 1-day return is greater than 24%
- Sell — Sell when the 1-day return drops to 24% or below