Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Indofood CBP Sukses Makmur Tbk backtest
10 trend-following strategies were compared on the full daily history of PT Indofood CBP Sukses Makmur Tbk. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.5%, MDD -41.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.8%, drawdown -73.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.5%, MDD -41.7%, Sharpe 0.55, 54% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 31.9%p (CAGR 11.5%, MDD -41.7%, exposure 54%).
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=18, slow=45 |
11.5% | -41.7% | 0.55 | 0.28 | 16.8x | 157 | 54% |
| 볼린저 밴드 돌파 n=56, k=2 |
10.2% | -37.5% | 0.55 | 0.27 | 12.3x | 95 | 36% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=21, mult=2.3 |
9.6% | -37.8% | 0.53 | 0.25 | 10.7x | 95 | 33% |
| EMA 크로스오버 fast=27, slow=30 |
11.0% | -54.3% | 0.53 | 0.20 | 15.0x | 131 | 54% |
| Supertrend period=26, mult=4.7 |
10.5% | -55.9% | 0.52 | 0.19 | 13.2x | 67 | 57% |
| Donchian 채널 돌파 entryN=107, exitN=51 |
9.0% | -56.6% | 0.48 | 0.16 | 9.2x | 45 | 43% |
| Parabolic SAR step=0.005, maxStep=0.22 |
7.2% | -80.8% | 0.40 | 0.09 | 6.1x | 169 | 54% |
| ADX / DI 방향성 period=36, threshold=15 |
5.4% | -57.4% | 0.35 | 0.09 | 3.9x | 119 | 29% |
| ROC 모멘텀 n=87, threshold=-0.02 |
6.1% | -69.8% | 0.35 | 0.09 | 4.6x | 267 | 64% |
| MACD fast=24, slow=58, signal=14 |
5.8% | -74.0% | 0.34 | 0.08 | 4.3x | 267 | 51% |
| Buy and hold | 11.8% | -73.5% | 0.49 | 0.16 | 18.0x | 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 18-day average price crosses above the 45-day average
- Sell — Sell (to cash) when the 18-day average falls below the 45-day average