Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Bayan Resources Tbk backtest
10 trend-following strategies were compared on the full daily history of PT Bayan Resources Tbk. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 33.8%, MDD -26.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR 19.7%, drawdown -84.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 32.2%, MDD -32.6%, Sharpe 1.30, 23% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 36.0%, MDD -46.7%, exposure 53%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 12.5%p higher than buy and hold, while drawdown improves by 52.3%p (CAGR 33.8%, MDD -26.0%, exposure 22%).
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=59, k=3.3 |
32.2% | -32.6% | 1.30 | 0.99 | 153.8x | 27 | 23% |
| ROC 모멘텀 n=49, threshold=0.13 |
33.8% | -26.0% | 1.30 | 1.30 | 192.8x | 81 | 22% |
| EMA 크로스오버 fast=37, slow=58 |
36.0% | -46.7% | 1.19 | 0.77 | 258.8x | 29 | 53% |
| SMA 크로스오버 fast=20, slow=85 |
34.7% | -49.8% | 1.19 | 0.70 | 217.0x | 43 | 53% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=14, mult=3.9 |
30.3% | -42.7% | 1.17 | 0.71 | 118.1x | 45 | 29% |
| ADX / DI 방향성 period=34, threshold=25 |
27.0% | -37.0% | 1.11 | 0.73 | 75.0x | 61 | 26% |
| Donchian 채널 돌파 entryN=102, exitN=28 |
26.9% | -33.2% | 1.10 | 0.81 | 73.9x | 41 | 31% |
| MACD fast=25, slow=68, signal=34 |
27.9% | -54.8% | 0.98 | 0.51 | 84.6x | 101 | 46% |
| Supertrend period=8, mult=4.9 |
24.1% | -73.4% | 0.87 | 0.33 | 49.1x | 75 | 50% |
| Parabolic SAR step=0.01, maxStep=0.28 |
23.8% | -59.6% | 0.86 | 0.40 | 47.2x | 149 | 50% |
| Buy and hold | 19.7% | -84.8% | 0.64 | 0.23 | 25.7x | 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 59-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 59-day middle average