Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Bank Central Asia Tbk backtest
10 trend-following strategies were compared on the full daily history of PT Bank Central Asia Tbk. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 17.5%, drawdown -55.7%).
Sharpe leader (same as main): Supertrend — CAGR 9.6%, MDD -36.1%, Sharpe 0.54, 67% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 10.1%, MDD -54.6%, exposure 81%.
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=11, mult=4.4 |
9.6% | -36.1% | 0.54 | 0.27 | 7.6x | 67 | 67% |
| Donchian 채널 돌파 entryN=11, exitN=40 |
10.1% | -54.6% | 0.53 | 0.19 | 8.4x | 89 | 81% |
| SMA 크로스오버 fast=58, slow=176 |
9.7% | -35.6% | 0.52 | 0.27 | 7.7x | 34 | 71% |
| EMA 크로스오버 fast=32, slow=96 |
9.3% | -40.3% | 0.51 | 0.23 | 7.2x | 48 | 73% |
| ROC 모멘텀 n=136, threshold=-0.11 |
9.8% | -53.0% | 0.50 | 0.18 | 7.9x | 102 | 88% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=11, mult=2.7 |
6.3% | -41.1% | 0.43 | 0.15 | 3.9x | 74 | 49% |
| 볼린저 밴드 돌파 n=81, k=1.4 |
6.1% | -52.1% | 0.41 | 0.12 | 3.7x | 74 | 53% |
| ADX / DI 방향성 period=39, threshold=26 |
1.7% | -17.5% | 0.28 | 0.10 | 1.4x | 16 | 8% |
| Parabolic SAR step=0.005, maxStep=0.3 |
1.2% | -57.1% | 0.16 | 0.02 | 1.3x | 163 | 59% |
| MACD fast=14, slow=45, signal=19 |
-2.0% | -72.8% | -0.00 | -0.03 | 0.6x | 285 | 48% |
| Buy and hold | 17.5% | -55.7% | 0.70 | 0.31 | 35.5x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 11-day volatility, 4.4× band
- Sell — Sell when price drops below the trend line (flips down)