Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Bank Danamon Indonesia Tbk Class A backtest
10 trend-following strategies were compared on the full daily history of PT Bank Danamon Indonesia Tbk Class A. 4 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.7%, MDD -58.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR 6.0%, drawdown -83.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.2%, MDD -70.7%, Sharpe 0.40, 76% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 12.5%p (CAGR 7.7%, MDD -58.2%, exposure 56%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=117, threshold=-0.11 |
8.2% | -70.7% | 0.40 | 0.12 | 6.4x | 129 | 76% |
| SMA 크로스오버 fast=14, slow=84 |
7.7% | -58.2% | 0.40 | 0.13 | 5.7x | 89 | 56% |
| Donchian 채널 돌파 entryN=47, exitN=75 |
6.5% | -69.8% | 0.36 | 0.09 | 4.4x | 45 | 65% |
| ADX / DI 방향성 period=42, threshold=7 |
6.5% | -58.3% | 0.36 | 0.11 | 4.4x | 211 | 57% |
| EMA 크로스오버 fast=19, slow=140 |
5.6% | -71.9% | 0.33 | 0.08 | 3.6x | 53 | 55% |
| Supertrend period=11, mult=3.9 |
3.6% | -82.5% | 0.27 | 0.04 | 2.3x | 109 | 56% |
| MACD fast=15, slow=44, signal=9 |
0.3% | -91.1% | 0.16 | 0.00 | 1.1x | 364 | 50% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-1.3% | -88.7% | 0.10 | -0.02 | 0.7x | 262 | 52% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=12, mult=2.7 |
-1.2% | -67.8% | 0.06 | -0.02 | 0.8x | 101 | 27% |
| 볼린저 밴드 돌파 n=39, k=2.9 |
-1.4% | -58.2% | 0.01 | -0.02 | 0.7x | 70 | 18% |
| Buy and hold | 6.0% | -83.2% | 0.35 | 0.07 | 3.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 117-day return is greater than -11%
- Sell — Sell when the 117-day return drops to -11% or below