Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Sumber Alfaria Trijaya backtest
10 trend-following strategies were compared on the full daily history of PT Sumber Alfaria Trijaya. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 20.1%, MDD -48.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 22.1%, drawdown -67.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 20.5%, MDD -56.8%, Sharpe 0.67, 64% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.6%p lower than buy and hold, while drawdown improves by 11.0%p (CAGR 20.1%, MDD -48.1%, exposure 63%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=33, slow=88 |
20.5% | -56.8% | 0.67 | 0.36 | 26.3x | 38 | 64% |
| SMA 크로스오버 fast=21, slow=160 |
20.1% | -48.1% | 0.67 | 0.42 | 24.7x | 34 | 63% |
| Donchian 채널 돌파 entryN=64, exitN=95 |
20.0% | -50.5% | 0.66 | 0.40 | 24.5x | 22 | 65% |
| ROC 모멘텀 n=219, threshold=-0.08 |
17.6% | -65.5% | 0.60 | 0.27 | 17.3x | 78 | 75% |
| 볼린저 밴드 돌파 n=99, k=3.3 |
11.6% | -44.3% | 0.52 | 0.26 | 6.9x | 26 | 29% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=20, mult=3.8 |
8.4% | -48.5% | 0.42 | 0.17 | 4.1x | 42 | 32% |
| ADX / DI 방향성 period=26, threshold=16 |
8.0% | -57.0% | 0.41 | 0.14 | 3.8x | 124 | 34% |
| Supertrend period=24, mult=5 |
3.1% | -75.0% | 0.27 | 0.04 | 1.7x | 66 | 66% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-4.4% | -82.5% | 0.05 | -0.05 | 0.5x | 120 | 52% |
| MACD fast=19, slow=54, signal=19 |
-7.9% | -88.1% | -0.13 | -0.09 | 0.2x | 190 | 46% |
| Buy and hold | 22.1% | -67.8% | 0.66 | 0.33 | 33.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 33-day EMA crosses above the 88-day EMA
- Sell — Sell when the 33-day EMA falls below the 88-day EMA