Trend-Following Backtester · Guide · backtest 한국어
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Reksa Dana Indeks Cipta ETF Indek LQ45 backtest
10 trend-following strategies were compared on the full daily history of Reksa Dana Indeks Cipta ETF Indek LQ45. 3 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.0%, MDD -14.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR -3.4%, drawdown -53.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 0.0%, MDD -14.5%, Sharpe 0.04, 10% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 38.8%p (CAGR 0.0%, MDD -14.5%, exposure 10%).
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=18, atrPeriod=9, mult=3.9 |
0.0% | -14.5% | 0.04 | 0.00 | 1.0x | 14 | 10% |
| ADX / DI 방향성 period=33, threshold=24 |
-1.9% | -33.6% | 0.03 | -0.06 | 0.9x | 18 | 19% |
| SMA 크로스오버 fast=53, slow=131 |
-3.0% | -39.0% | 0.01 | -0.08 | 0.8x | 18 | 50% |
| Donchian 채널 돌파 entryN=23, exitN=67 |
-6.4% | -49.8% | -0.05 | -0.13 | 0.6x | 20 | 71% |
| ROC 모멘텀 n=135, threshold=0.13 |
-3.7% | -38.8% | -0.18 | -0.10 | 0.8x | 42 | 13% |
| MACD fast=23, slow=59, signal=22 |
-9.9% | -76.9% | -0.20 | -0.13 | 0.5x | 61 | 46% |
| 볼린저 밴드 돌파 n=34, k=2.9 |
-6.1% | -45.9% | -0.24 | -0.13 | 0.7x | 18 | 13% |
| Supertrend period=8, mult=4.5 |
-10.1% | -56.2% | -0.26 | -0.18 | 0.5x | 48 | 55% |
| EMA 크로스오버 fast=55, slow=179 |
-6.1% | -43.7% | -0.26 | -0.14 | 0.7x | 12 | 46% |
| Parabolic SAR step=0.03, maxStep=0.38 |
-12.5% | -66.7% | -0.33 | -0.19 | 0.4x | 121 | 49% |
| Buy and hold | -3.4% | -53.3% | 0.13 | -0.06 | 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 18-day average + 3.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 18-day average