Trend-Following Backtester · Guide · backtest 한국어
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Reksa Dana Indeks Panin ETF IDX30 Dinamis Units backtest
10 trend-following strategies were compared on the full daily history of Reksa Dana Indeks Panin ETF IDX30 Dinamis Units. 7 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.4%, MDD -38.6%).
Results by strategy
7 of 10 beat buy and hold (CAGR -3.0%, drawdown -60.9%).
Sharpe leader (same as main): Parabolic SAR — CAGR 7.3%, MDD -39.7%, Sharpe 0.38, 52% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 10.3%p higher than buy and hold, while drawdown improves by 21.2%p (CAGR 2.4%, MDD -38.6%, exposure 17%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.015, maxStep=0.14 |
7.3% | -39.7% | 0.38 | 0.18 | 1.7x | 43 | 52% |
| 볼린저 밴드 돌파 n=13, k=3.4 |
2.4% | -38.6% | 0.22 | 0.06 | 1.2x | 26 | 17% |
| ADX / DI 방향성 period=38, threshold=13 |
0.4% | -55.5% | 0.18 | 0.01 | 1.0x | 37 | 45% |
| SMA 크로스오버 fast=33, slow=111 |
-0.8% | -55.5% | 0.15 | -0.01 | 0.9x | 16 | 47% |
| Supertrend period=18, mult=2.3 |
-0.6% | -56.4% | 0.13 | -0.01 | 1.0x | 79 | 52% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=17, mult=3.8 |
0.6% | -41.9% | 0.12 | 0.01 | 1.0x | 38 | 32% |
| Donchian 채널 돌파 entryN=16, exitN=100 |
-3.8% | -72.6% | 0.11 | -0.05 | 0.8x | 21 | 82% |
| EMA 크로스오버 fast=38, slow=39 |
-2.3% | -55.5% | 0.10 | -0.04 | 0.8x | 30 | 48% |
| ROC 모멘텀 n=95, threshold=-0.03 |
-12.4% | -73.0% | -0.20 | -0.17 | 0.4x | 48 | 56% |
| MACD fast=29, slow=63, signal=21 |
-13.0% | -81.8% | -0.30 | -0.16 | 0.4x | 51 | 45% |
| Buy and hold | -3.0% | -60.9% | 0.16 | -0.05 | 0.8x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots