Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Alamtri Resources Indonesia Tbk backtest
10 trend-following strategies were compared on the full daily history of PT Alamtri Resources Indonesia Tbk. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.7%, MDD -44.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR 2.7%, drawdown -84.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.5%, MDD -65.4%, Sharpe 0.51, 52% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.7%p higher than buy and hold, while drawdown improves by 19.4%p (CAGR 3.7%, MDD -44.5%, exposure 11%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=25, slow=148 |
11.5% | -65.4% | 0.51 | 0.18 | 7.2x | 39 | 52% |
| Donchian 채널 돌파 entryN=89, exitN=79 |
11.1% | -59.7% | 0.51 | 0.19 | 6.7x | 21 | 50% |
| EMA 크로스오버 fast=33, slow=109 |
10.8% | -56.7% | 0.49 | 0.19 | 6.4x | 27 | 50% |
| 볼린저 밴드 돌파 n=56, k=2.2 |
8.3% | -49.3% | 0.44 | 0.17 | 4.2x | 60 | 34% |
| Supertrend period=18, mult=4.9 |
8.5% | -66.1% | 0.42 | 0.13 | 4.4x | 53 | 58% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=15, mult=2.2 |
6.8% | -50.5% | 0.38 | 0.13 | 3.3x | 81 | 35% |
| MACD fast=18, slow=50, signal=16 |
4.7% | -61.9% | 0.31 | 0.08 | 2.3x | 197 | 52% |
| ROC 모멘텀 n=101, threshold=0.13 |
4.5% | -63.7% | 0.30 | 0.07 | 2.2x | 146 | 35% |
| ADX / DI 방향성 period=28, threshold=25 |
3.7% | -44.5% | 0.30 | 0.08 | 1.9x | 36 | 11% |
| Parabolic SAR step=0.02, maxStep=0.44 |
0.0% | -72.9% | 0.16 | 0.00 | 1.0x | 335 | 49% |
| Buy and hold | 2.7% | -84.8% | 0.29 | 0.03 | 1.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 25-day average price crosses above the 148-day average
- Sell — Sell (to cash) when the 25-day average falls below the 148-day average