Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Bank Negara Indonesia (Persero) Tbk Class B backtest
10 trend-following strategies were compared on the full daily history of PT Bank Negara Indonesia (Persero) Tbk Class B. 4 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 10.2%, MDD -35.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 8.0%, drawdown -85.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 10.2%, MDD -35.0%, Sharpe 0.59, 30% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 11.3%, MDD -52.2%, exposure 56%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 50.5%p (CAGR 10.2%, MDD -35.0%, exposure 30%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=51, k=2.4 |
10.2% | -35.0% | 0.59 | 0.29 | 9.0x | 72 | 30% |
| Donchian 채널 돌파 entryN=17, exitN=15 |
11.3% | -52.2% | 0.54 | 0.22 | 11.2x | 151 | 56% |
| SMA 크로스오버 fast=17, slow=50 |
10.3% | -56.6% | 0.52 | 0.18 | 9.2x | 117 | 54% |
| Supertrend period=9, mult=3.7 |
10.4% | -55.9% | 0.50 | 0.19 | 9.3x | 109 | 56% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=26, mult=3 |
8.0% | -38.1% | 0.49 | 0.21 | 5.7x | 72 | 31% |
| ADX / DI 방향성 period=27, threshold=28 |
5.0% | -31.1% | 0.46 | 0.16 | 3.0x | 24 | 8% |
| ROC 모멘텀 n=70, threshold=0.07 |
7.2% | -68.1% | 0.43 | 0.11 | 4.8x | 212 | 39% |
| MACD fast=24, slow=59, signal=31 |
7.5% | -59.1% | 0.41 | 0.13 | 5.1x | 165 | 51% |
| EMA 크로스오버 fast=18, slow=101 |
6.9% | -62.3% | 0.40 | 0.11 | 4.5x | 78 | 54% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-0.8% | -79.5% | 0.10 | -0.01 | 0.8x | 353 | 52% |
| Buy and hold | 8.0% | -85.4% | 0.40 | 0.09 | 5.7x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 51-day average (2.4× volatility)
- Sell — Sell when the close falls back to the 51-day middle average