Trend-Following Backtester · Guide · backtest 한국어
etf · ID
Batavia IDX30 ETF backtest
10 trend-following strategies were compared on the full daily history of Batavia IDX30 ETF. 3 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR -2.0%, MDD -34.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR -3.1%, drawdown -47.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR -1.5%, MDD -38.8%, Sharpe 0.14, 22% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 8.5%p (CAGR -2.0%, MDD -34.5%, exposure 30%).
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=39, threshold=23 |
-1.5% | -38.8% | 0.14 | -0.04 | 0.9x | 14 | 22% |
| Donchian 채널 돌파 entryN=28, exitN=67 |
-3.7% | -37.0% | 0.06 | -0.10 | 0.8x | 25 | 68% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=12, mult=2.7 |
-2.0% | -34.5% | -0.03 | -0.06 | 0.9x | 50 | 30% |
| SMA 크로스오버 fast=26, slow=109 |
-6.4% | -56.2% | -0.04 | -0.11 | 0.6x | 15 | 46% |
| EMA 크로스오버 fast=57, slow=86 |
-7.5% | -60.8% | -0.07 | -0.12 | 0.6x | 13 | 43% |
| 볼린저 밴드 돌파 n=33, k=3.1 |
-2.3% | -34.8% | -0.10 | -0.07 | 0.8x | 10 | 8% |
| ROC 모멘텀 n=130, threshold=-0.09 |
-12.2% | -73.2% | -0.14 | -0.17 | 0.4x | 56 | 72% |
| Supertrend period=29, mult=4.8 |
-12.8% | -69.0% | -0.28 | -0.19 | 0.4x | 68 | 53% |
| MACD fast=12, slow=63, signal=16 |
-16.7% | -83.7% | -0.48 | -0.20 | 0.3x | 78 | 51% |
| Parabolic SAR step=0.045, maxStep=0.06 |
-14.5% | -77.4% | -0.49 | -0.19 | 0.3x | 92 | 47% |
| Buy and hold | -3.1% | -47.3% | 0.15 | -0.07 | 0.8x | 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, 39-day) is ≥ 23
- Sell — Sell when direction flips or the trend weakens (ADX < 23)