Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Astra International Tbk backtest
10 trend-following strategies were compared on the full daily history of PT Astra International Tbk. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 16.1%, MDD -49.4%).
Results by strategy
5 of 10 beat buy and hold (CAGR 13.3%, drawdown -76.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 18.3%, MDD -50.7%, Sharpe 0.70, 70% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.0%p higher than buy and hold, while drawdown improves by 25.4%p (CAGR 16.1%, MDD -49.4%, exposure 54%).
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=19, exitN=41 |
18.3% | -50.7% | 0.70 | 0.36 | 77.5x | 87 | 70% |
| SMA 크로스오버 fast=10, slow=30 |
16.1% | -49.4% | 0.68 | 0.33 | 47.4x | 218 | 54% |
| MACD fast=21, slow=48, signal=22 |
14.3% | -54.4% | 0.63 | 0.26 | 31.9x | 215 | 51% |
| Supertrend period=20, mult=4.2 |
13.9% | -56.3% | 0.60 | 0.25 | 29.0x | 100 | 56% |
| EMA 크로스오버 fast=13, slow=38 |
13.5% | -65.1% | 0.59 | 0.21 | 26.6x | 150 | 58% |
| 볼린저 밴드 돌파 n=38, k=1.3 |
10.4% | -60.4% | 0.52 | 0.17 | 13.0x | 188 | 43% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=15, mult=2.7 |
8.7% | -67.6% | 0.49 | 0.13 | 8.8x | 108 | 30% |
| Parabolic SAR step=0.005, maxStep=0.34 |
10.1% | -68.8% | 0.48 | 0.15 | 12.1x | 182 | 54% |
| ROC 모멘텀 n=124, threshold=-0.02 |
7.9% | -70.1% | 0.41 | 0.11 | 7.1x | 222 | 61% |
| ADX / DI 방향성 period=34, threshold=13 |
5.8% | -80.0% | 0.36 | 0.07 | 4.3x | 172 | 34% |
| Buy and hold | 13.3% | -76.0% | 0.52 | 0.18 | 25.4x | 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 19 days
- Sell — Sell when price breaks below the lowest low of the last 41 days