Trend-Following Backtester · Guide · backtest 한국어
etf · ID
Reksa Dana Pinnacle Enhanced Liquid ETF backtest
10 trend-following strategies were compared on the full daily history of Reksa Dana Pinnacle Enhanced Liquid ETF. 5 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 0.0%, MDD -27.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR -0.5%, drawdown -53.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.3%, MDD -51.8%, Sharpe 0.29, 52% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.8%p higher than buy and hold, while drawdown improves by 1.8%p (CAGR 0.0%, MDD -27.3%, exposure 36%).
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=15, threshold=15 |
4.3% | -51.8% | 0.29 | 0.08 | 1.5x | 83 | 52% |
| Donchian 채널 돌파 entryN=11, exitN=98 |
0.6% | -53.6% | 0.23 | 0.01 | 1.1x | 33 | 90% |
| SMA 크로스오버 fast=48, slow=112 |
0.9% | -48.5% | 0.22 | 0.02 | 1.1x | 26 | 50% |
| MACD fast=23, slow=58, signal=22 |
0.3% | -61.4% | 0.16 | 0.00 | 1.0x | 61 | 50% |
| EMA 크로스오버 fast=59, slow=144 |
-3.2% | -53.4% | 0.12 | -0.06 | 0.7x | 18 | 49% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=8, mult=3.6 |
0.0% | -27.3% | 0.07 | 0.00 | 1.0x | 56 | 36% |
| Parabolic SAR step=0.035, maxStep=0.18 |
-2.5% | -63.8% | 0.05 | -0.04 | 0.8x | 88 | 50% |
| Supertrend period=14, mult=4.8 |
-6.0% | -54.7% | 0.02 | -0.11 | 0.5x | 85 | 51% |
| 볼린저 밴드 돌파 n=27, k=1.7 |
-5.3% | -64.7% | -0.10 | -0.08 | 0.6x | 54 | 34% |
| ROC 모멘텀 n=12, threshold=-0.02 |
-10.2% | -73.4% | -0.14 | -0.14 | 0.3x | 149 | 77% |
| Buy and hold | -0.5% | -53.6% | 0.21 | -0.01 | 0.9x | 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, 15-day) is ≥ 15
- Sell — Sell when direction flips or the trend weakens (ADX < 15)