Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Bakrie & Brothers Tbk Class A backtest
10 trend-following strategies were compared on the full daily history of PT Bakrie & Brothers Tbk Class A. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.6%, MDD -71.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR -15.5%, drawdown -99.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.3%, MDD -78.4%, Sharpe 0.37, 13% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 6.6%, MDD -71.4%, exposure 9%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 19.8%p higher than buy and hold, while drawdown improves by 21.3%p (CAGR 6.6%, MDD -71.4%, exposure 9%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=15, threshold=12 |
4.3% | -78.4% | 0.37 | 0.06 | 3.0x | 115 | 13% |
| SMA 크로스오버 fast=58, slow=111 |
5.6% | -81.6% | 0.36 | 0.07 | 4.0x | 26 | 14% |
| EMA 크로스오버 fast=52, slow=75 |
6.1% | -78.2% | 0.36 | 0.08 | 4.6x | 14 | 30% |
| 볼린저 밴드 돌파 n=53, k=2.1 |
6.6% | -71.4% | 0.36 | 0.09 | 5.3x | 26 | 9% |
| Parabolic SAR step=0.025, maxStep=0.42 |
0.5% | -96.0% | 0.35 | 0.00 | 1.1x | 124 | 17% |
| Supertrend period=17, mult=3.3 |
4.6% | -83.9% | 0.32 | 0.06 | 3.2x | 54 | 11% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=20, mult=1.7 |
3.8% | -78.0% | 0.27 | 0.05 | 2.6x | 38 | 18% |
| ROC 모멘텀 n=145, threshold=0.03 |
-3.1% | -92.4% | 0.16 | -0.03 | 0.4x | 78 | 14% |
| MACD fast=36, slow=56, signal=40 |
-19.3% | -100.0% | 0.15 | -0.19 | 0.0x | 72 | 21% |
| Donchian 채널 돌파 entryN=63, exitN=79 |
-39.6% | -100.0% | -0.25 | -0.40 | 0.0x | 62 | 79% |
| Buy and hold | -15.5% | -99.7% | 0.45 | -0.16 | 0.0x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 15-day) is ≥ 12
- Sell — Sell when direction flips or the trend weakens (ADX < 12)