Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Bukit Uluwatu Villa Tbk backtest
10 trend-following strategies were compared on the full daily history of PT Bukit Uluwatu Villa Tbk. 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 15.5%, MDD -59.2%).
Results by strategy
5 of 10 beat buy and hold (CAGR 11.4%, drawdown -90.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 17.8%, MDD -64.7%, Sharpe 0.66, 11% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.5%p higher than buy and hold, while drawdown improves by 25.6%p (CAGR 15.5%, MDD -59.2%, exposure 23%).
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=31, k=3.4 |
17.8% | -64.7% | 0.66 | 0.28 | 13.9x | 32 | 11% |
| ADX / DI 방향성 period=21, threshold=37 |
15.5% | -59.2% | 0.61 | 0.26 | 10.1x | 34 | 23% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=11, mult=3.9 |
14.0% | -69.8% | 0.56 | 0.20 | 8.2x | 26 | 12% |
| EMA 크로스오버 fast=98, slow=171 |
13.8% | -74.7% | 0.51 | 0.19 | 8.0x | 21 | 40% |
| SMA 크로스오버 fast=50, slow=165 |
13.5% | -65.7% | 0.51 | 0.20 | 7.6x | 26 | 36% |
| Donchian 채널 돌파 entryN=90, exitN=18 |
10.2% | -75.5% | 0.45 | 0.13 | 4.7x | 26 | 25% |
| ROC 모멘텀 n=101, threshold=0.14 |
6.7% | -86.1% | 0.36 | 0.08 | 2.8x | 112 | 17% |
| Supertrend period=11, mult=5 |
3.9% | -95.3% | 0.31 | 0.04 | 1.9x | 56 | 64% |
| Parabolic SAR step=0.025, maxStep=0.28 |
-1.3% | -97.8% | 0.19 | -0.01 | 0.8x | 250 | 39% |
| MACD fast=18, slow=31, signal=14 |
-5.1% | -96.5% | 0.11 | -0.05 | 0.4x | 195 | 58% |
| Buy and hold | 11.4% | -90.3% | 0.48 | 0.13 | 5.6x | 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 31-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 31-day middle average