Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Darma Henwa Tbk backtest
10 trend-following strategies were compared on the full daily history of PT Darma Henwa Tbk. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 17.9%, MDD -51.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.1%, drawdown -93.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 17.8%, MDD -53.0%, Sharpe 0.60, 72% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 17.9%, MDD -51.7%, exposure 29%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 19.0%p higher than buy and hold, while drawdown improves by 40.7%p (CAGR 17.9%, MDD -51.7%, exposure 29%).
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=16, threshold=15 |
17.8% | -53.0% | 0.60 | 0.34 | 22.1x | 109 | 72% |
| SMA 크로스오버 fast=52, slow=71 |
17.9% | -51.7% | 0.59 | 0.35 | 22.2x | 34 | 29% |
| Supertrend period=19, mult=4.2 |
15.0% | -58.9% | 0.55 | 0.25 | 13.9x | 35 | 23% |
| Donchian 채널 돌파 entryN=47, exitN=13 |
13.9% | -55.4% | 0.55 | 0.25 | 11.7x | 42 | 54% |
| ROC 모멘텀 n=68, threshold=-0.01 |
14.6% | -64.7% | 0.53 | 0.23 | 13.1x | 112 | 71% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=13, mult=4 |
12.3% | -60.7% | 0.51 | 0.20 | 9.0x | 20 | 12% |
| 볼린저 밴드 돌파 n=45, k=2.7 |
11.5% | -67.0% | 0.48 | 0.17 | 7.7x | 41 | 15% |
| MACD fast=16, slow=53, signal=8 |
11.1% | -61.9% | 0.46 | 0.18 | 7.3x | 115 | 72% |
| EMA 크로스오버 fast=18, slow=63 |
9.9% | -69.9% | 0.43 | 0.14 | 5.9x | 43 | 25% |
| Parabolic SAR step=0.025, maxStep=0.14 |
0.2% | -84.1% | 0.19 | 0.00 | 1.0x | 181 | 49% |
| Buy and hold | -1.1% | -93.7% | 0.25 | -0.01 | 0.8x | 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, 16-day) is ≥ 15
- Sell — Sell when direction flips or the trend weakens (ADX < 15)