Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT XLSMART Telecom Sejahtera Tbk backtest
10 trend-following strategies were compared on the full daily history of PT XLSMART Telecom Sejahtera Tbk. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.5%, MDD -36.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 0.3%, drawdown -82.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.5%, MDD -53.9%, Sharpe 0.33, 51% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.2%p higher than buy and hold, while drawdown improves by 28.5%p (CAGR 0.5%, MDD -36.6%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=28, slow=101 |
5.5% | -53.9% | 0.33 | 0.10 | 3.1x | 56 | 51% |
| EMA 크로스오버 fast=39, slow=55 |
3.8% | -57.8% | 0.28 | 0.07 | 2.2x | 58 | 51% |
| Donchian 채널 돌파 entryN=62, exitN=50 |
3.8% | -51.9% | 0.27 | 0.07 | 2.2x | 40 | 45% |
| Supertrend period=29, mult=4.5 |
0.2% | -59.1% | 0.17 | 0.00 | 1.1x | 74 | 52% |
| MACD fast=27, slow=67, signal=19 |
-0.2% | -69.3% | 0.16 | -0.00 | 1.0x | 165 | 49% |
| 볼린저 밴드 돌파 n=58, k=3.4 |
0.5% | -36.6% | 0.11 | 0.01 | 1.1x | 22 | 9% |
| ADX / DI 방향성 period=27, threshold=18 |
-0.8% | -48.1% | 0.09 | -0.02 | 0.8x | 98 | 24% |
| ROC 모멘텀 n=79, threshold=-0.01 |
-3.9% | -78.5% | 0.04 | -0.05 | 0.4x | 270 | 52% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=17, mult=2.7 |
-4.6% | -70.5% | -0.10 | -0.07 | 0.4x | 86 | 22% |
| Parabolic SAR step=0.015, maxStep=0.38 |
-10.7% | -95.1% | -0.17 | -0.11 | 0.1x | 315 | 50% |
| Buy and hold | 0.3% | -82.5% | 0.24 | 0.00 | 1.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 28-day average price crosses above the 101-day average
- Sell — Sell (to cash) when the 28-day average falls below the 101-day average