Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT AKR Corporindo Tbk backtest
10 trend-following strategies were compared on the full daily history of PT AKR Corporindo Tbk. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 17.1%, drawdown -90.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 17.8%, MDD -83.4%, Sharpe 0.40, 93% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=5, exitN=95 |
17.8% | -83.4% | 0.40 | 0.21 | 31.0x | 59 | 93% |
| ROC 모멘텀 n=114, threshold=-0.13 |
16.8% | -83.4% | 0.38 | 0.20 | 25.9x | 105 | 82% |
| SMA 크로스오버 fast=58, slow=209 |
15.7% | -83.4% | 0.37 | 0.19 | 21.3x | 27 | 61% |
| EMA 크로스오버 fast=52, slow=150 |
12.7% | -83.4% | 0.34 | 0.15 | 12.2x | 37 | 63% |
| Parabolic SAR step=0.005, maxStep=0.3 |
8.7% | -80.9% | 0.29 | 0.11 | 5.7x | 138 | 51% |
| Supertrend period=26, mult=4.4 |
7.3% | -85.2% | 0.28 | 0.09 | 4.4x | 81 | 58% |
| 볼린저 밴드 돌파 n=49, k=2.6 |
6.6% | -83.8% | 0.26 | 0.08 | 3.8x | 58 | 27% |
| Keltner 채널 돌파 emaPeriod=71, atrPeriod=15, mult=2.9 |
4.8% | -87.0% | 0.24 | 0.05 | 2.7x | 68 | 34% |
| ADX / DI 방향성 period=24, threshold=18 |
5.2% | -80.3% | 0.24 | 0.06 | 2.9x | 110 | 25% |
| MACD fast=10, slow=54, signal=14 |
-2.3% | -96.1% | 0.18 | -0.02 | 0.6x | 322 | 49% |
| Buy and hold | 17.1% | -90.0% | 0.40 | 0.19 | 27.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 5 days
- Sell — Sell when price breaks below the lowest low of the last 95 days