Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT ANTAM (Persero) Tbk backtest
10 trend-following strategies were compared on the full daily history of PT ANTAM (Persero) Tbk. 3 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 12.3%, MDD -34.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 9.5%, drawdown -93.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 12.3%, MDD -34.4%, Sharpe 0.67, 11% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 15.5%, MDD -66.1%, exposure 44%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 58.8%p (CAGR 12.3%, MDD -34.4%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=13, threshold=36 |
12.3% | -34.4% | 0.67 | 0.36 | 11.2x | 66 | 11% |
| SMA 크로스오버 fast=17, slow=181 |
15.5% | -66.1% | 0.53 | 0.23 | 20.2x | 34 | 44% |
| Donchian 채널 돌파 entryN=2, exitN=37 |
11.8% | -92.8% | 0.51 | 0.13 | 10.2x | 157 | 87% |
| ROC 모멘텀 Hold-like · Exposure 99% n=4, threshold=-0.15 |
7.2% | -95.0% | 0.48 | 0.08 | 4.3x | 83 | 99% |
| EMA 크로스오버 fast=11, slow=211 |
8.9% | -75.3% | 0.43 | 0.12 | 5.9x | 34 | 51% |
| MACD fast=19, slow=35, signal=23 |
6.6% | -96.1% | 0.42 | 0.07 | 3.8x | 167 | 45% |
| Parabolic SAR step=0.005, maxStep=0.1 |
-5.8% | -99.8% | 0.29 | -0.06 | 0.3x | 119 | 53% |
| Supertrend period=18, mult=5 |
-16.9% | -100.0% | 0.07 | -0.17 | 0.0x | 76 | 55% |
| 볼린저 밴드 돌파 n=15, k=1.1 |
-18.7% | -100.0% | 0.05 | -0.19 | 0.0x | 300 | 45% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=10, mult=0.9 |
-19.2% | -99.9% | 0.03 | -0.19 | 0.0x | 154 | 48% |
| Buy and hold | 9.5% | -93.2% | 0.50 | 0.10 | 6.6x | 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, 13-day) is ≥ 36
- Sell — Sell when direction flips or the trend weakens (ADX < 36)