Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Allo Bank Indonesia Tbk backtest
10 trend-following strategies were compared on the full daily history of PT Allo Bank Indonesia Tbk. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 49.9%, MDD -43.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR 38.3%, drawdown -92.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 65.7%, MDD -61.4%, Sharpe 1.14, 30% exposure.
CAGR reference leader: Supertrend — CAGR 70.6%, MDD -65.7%, exposure 59%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 27.4%p higher than buy and hold, while drawdown improves by 31.0%p (CAGR 49.9%, MDD -43.7%, exposure 16%).
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=86, exitN=28 |
65.7% | -61.4% | 1.14 | 1.07 | 254.4x | 12 | 30% |
| Supertrend period=8, mult=4.8 |
70.6% | -65.7% | 1.11 | 1.08 | 350.4x | 34 | 59% |
| ADX / DI 방향성 period=38, threshold=24 |
57.5% | -72.3% | 1.07 | 0.80 | 145.9x | 18 | 33% |
| ROC 모멘텀 n=60, threshold=0.14 |
59.8% | -61.5% | 1.07 | 0.97 | 170.9x | 72 | 30% |
| 볼린저 밴드 돌파 n=28, k=2.1 |
56.8% | -61.2% | 1.05 | 0.93 | 139.0x | 60 | 26% |
| SMA 크로스오버 fast=42, slow=173 |
58.1% | -74.9% | 1.05 | 0.78 | 151.8x | 18 | 41% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=19, mult=3.3 |
49.9% | -43.7% | 1.04 | 1.14 | 84.7x | 24 | 16% |
| EMA 크로스오버 fast=49, slow=126 |
55.9% | -83.3% | 1.02 | 0.67 | 129.9x | 18 | 41% |
| Parabolic SAR step=0.005, maxStep=0.26 |
55.8% | -66.2% | 0.99 | 0.84 | 129.2x | 61 | 45% |
| MACD fast=20, slow=52, signal=15 |
44.8% | -61.5% | 0.89 | 0.73 | 58.0x | 97 | 47% |
| Buy and hold | 38.3% | -92.4% | 0.79 | 0.41 | 35.0x | 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 86 days
- Sell — Sell when price breaks below the lowest low of the last 28 days