Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Bank Mandiri (Persero) Tbk backtest
10 trend-following strategies were compared on the full daily history of PT Bank Mandiri (Persero) Tbk. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 10.8%, MDD -44.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.9%, drawdown -70.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.8%, MDD -44.5%, Sharpe 0.53, 63% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.0%p lower than buy and hold, while drawdown improves by 25.8%p (CAGR 10.8%, MDD -44.5%, exposure 63%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=22, slow=94 |
10.8% | -44.5% | 0.53 | 0.24 | 10.7x | 56 | 63% |
| SMA 크로스오버 fast=9, slow=108 |
10.3% | -47.1% | 0.52 | 0.22 | 9.7x | 78 | 61% |
| 볼린저 밴드 돌파 n=37, k=2.5 |
8.1% | -29.2% | 0.50 | 0.28 | 6.0x | 88 | 30% |
| Donchian 채널 돌파 entryN=21, exitN=23 |
8.2% | -49.6% | 0.43 | 0.16 | 6.1x | 121 | 61% |
| Supertrend period=9, mult=4.1 |
7.6% | -68.0% | 0.41 | 0.11 | 5.4x | 91 | 62% |
| MACD fast=28, slow=73, signal=37 |
7.2% | -47.4% | 0.40 | 0.15 | 4.9x | 141 | 51% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=10, mult=1.7 |
6.4% | -45.6% | 0.39 | 0.14 | 4.2x | 134 | 46% |
| ROC 모멘텀 n=93, threshold=-0.03 |
6.5% | -61.1% | 0.37 | 0.11 | 4.3x | 186 | 68% |
| Parabolic SAR step=0.005, maxStep=0.28 |
5.2% | -60.3% | 0.33 | 0.09 | 3.2x | 160 | 53% |
| ADX / DI 방향성 period=20, threshold=27 |
2.9% | -35.2% | 0.28 | 0.08 | 1.9x | 56 | 14% |
| Buy and hold | 13.9% | -70.2% | 0.54 | 0.20 | 20.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 22-day EMA crosses above the 94-day EMA
- Sell — Sell when the 22-day EMA falls below the 94-day EMA