Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Dian Swastatika Sentosa Tbk backtest
10 trend-following strategies were compared on the full daily history of PT Dian Swastatika Sentosa Tbk. 9 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 44.4%, MDD -44.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR 33.3%, drawdown -90.7%).
Sharpe leader (same as main): Parabolic SAR — CAGR 51.3%, MDD -49.9%, Sharpe 1.24, 46% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 18.0%p higher than buy and hold, while drawdown improves by 40.8%p (CAGR 44.4%, MDD -44.3%, exposure 27%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.02, maxStep=0.1 |
51.3% | -49.9% | 1.24 | 1.03 | 1021.9x | 121 | 46% |
| ROC 모멘텀 n=38, threshold=0.09 |
44.4% | -44.3% | 1.24 | 1.00 | 463.8x | 107 | 27% |
| SMA 크로스오버 fast=34, slow=42 |
47.2% | -47.0% | 1.24 | 1.00 | 640.4x | 105 | 46% |
| Supertrend period=22, mult=5 |
40.9% | -59.1% | 1.15 | 0.69 | 310.4x | 76 | 41% |
| 볼린저 밴드 돌파 n=43, k=2.1 |
38.5% | -55.9% | 1.15 | 0.69 | 231.1x | 59 | 31% |
| Donchian 채널 돌파 entryN=118, exitN=24 |
35.3% | -47.9% | 1.12 | 0.74 | 156.2x | 34 | 24% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=9, mult=4 |
34.3% | -56.8% | 1.12 | 0.60 | 138.1x | 66 | 25% |
| EMA 크로스오버 fast=28, slow=67 |
36.7% | -60.2% | 1.02 | 0.61 | 185.4x | 34 | 48% |
| ADX / DI 방향성 period=23, threshold=37 |
26.8% | -38.6% | 1.01 | 0.69 | 53.0x | 46 | 29% |
| MACD fast=31, slow=47, signal=29 |
35.0% | -68.0% | 0.97 | 0.51 | 150.7x | 75 | 51% |
| Buy and hold | 33.3% | -90.7% | 0.80 | 0.37 | 122.8x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots