Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Garuda Indonesia (Persero) Tbk Class B backtest
10 trend-following strategies were compared on the full daily history of PT Garuda Indonesia (Persero) Tbk Class B. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 14.5%, MDD -32.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -14.1%, drawdown -95.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 14.5%, MDD -32.8%, Sharpe 0.67, 16% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 28.6%p higher than buy and hold, while drawdown improves by 62.8%p (CAGR 14.5%, MDD -32.8%, exposure 16%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=24, mult=3.8 |
14.5% | -32.8% | 0.67 | 0.44 | 8.1x | 24 | 16% |
| ROC 모멘텀 n=31, threshold=0.06 |
13.7% | -51.4% | 0.60 | 0.27 | 7.3x | 126 | 20% |
| 볼린저 밴드 돌파 n=54, k=2.9 |
11.7% | -43.4% | 0.57 | 0.27 | 5.5x | 26 | 17% |
| Donchian 채널 돌파 entryN=61, exitN=25 |
10.5% | -40.2% | 0.52 | 0.26 | 4.7x | 28 | 27% |
| SMA 크로스오버 fast=21, slow=48 |
9.2% | -59.0% | 0.45 | 0.16 | 3.9x | 68 | 32% |
| Supertrend period=6, mult=3.7 |
8.5% | -57.1% | 0.41 | 0.15 | 3.6x | 56 | 48% |
| EMA 크로스오버 fast=18, slow=25 |
7.6% | -55.7% | 0.40 | 0.14 | 3.1x | 74 | 32% |
| ADX / DI 방향성 period=32, threshold=15 |
7.4% | -52.2% | 0.39 | 0.14 | 3.0x | 82 | 31% |
| MACD fast=20, slow=44, signal=18 |
6.4% | -67.2% | 0.35 | 0.09 | 2.6x | 119 | 55% |
| Parabolic SAR step=0.02, maxStep=0.12 |
-3.7% | -72.1% | 0.02 | -0.05 | 0.6x | 203 | 38% |
| Buy and hold | -14.1% | -95.6% | -0.13 | -0.15 | 0.1x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 43-day average + 3.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 43-day average