Trend-Following Backtester · Guide · backtest 한국어
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Reksa Dana Indeks Kisi IDX Value30 ETF backtest
10 trend-following strategies were compared on the full daily history of Reksa Dana Indeks Kisi IDX Value30 ETF. 7 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 8.5%, MDD -20.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR 1.3%, drawdown -55.2%).
Sharpe leader (same as main): Supertrend — CAGR 8.5%, MDD -20.5%, Sharpe 0.51, 44% exposure.
Return/drawdown alternative: Supertrend — CAGR is 7.2%p higher than buy and hold, while drawdown improves by 34.7%p (CAGR 8.5%, MDD -20.5%, exposure 44%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=24, mult=4.2 |
8.5% | -20.5% | 0.51 | 0.42 | 1.7x | 63 | 44% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=28, mult=2.6 |
7.3% | -31.6% | 0.46 | 0.23 | 1.6x | 47 | 28% |
| SMA 크로스오버 fast=32, slow=138 |
7.8% | -50.8% | 0.38 | 0.15 | 1.7x | 10 | 57% |
| 볼린저 밴드 돌파 n=14, k=2.2 |
5.6% | -31.1% | 0.38 | 0.18 | 1.4x | 40 | 19% |
| EMA 크로스오버 fast=47, slow=64 |
5.2% | -54.3% | 0.31 | 0.10 | 1.4x | 14 | 56% |
| ADX / DI 방향성 period=24, threshold=7 |
3.7% | -50.8% | 0.28 | 0.07 | 1.3x | 66 | 58% |
| MACD fast=18, slow=56, signal=31 |
1.5% | -53.4% | 0.19 | 0.03 | 1.1x | 41 | 47% |
| Donchian 채널 돌파 entryN=46, exitN=28 |
-0.6% | -50.6% | 0.10 | -0.01 | 1.0x | 20 | 42% |
| Parabolic SAR step=0.01, maxStep=0.32 |
-1.3% | -56.6% | 0.07 | -0.02 | 0.9x | 61 | 46% |
| ROC 모멘텀 n=95, threshold=0.06 |
-4.0% | -57.7% | -0.01 | -0.07 | 0.8x | 56 | 42% |
| Buy and hold | 1.3% | -55.2% | 0.23 | 0.02 | 1.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 24-day volatility, 4.2× band
- Sell — Sell when price drops below the trend line (flips down)