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; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.2%, MDD -41.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.5%, drawdown -73.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 10.0%, MDD -37.5%, Sharpe 0.54, 36% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 11.2%, MDD -41.7%, exposure 54%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.4%p lower than buy and hold, while drawdown improves by 36.0%p (CAGR 11.2%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=56, k=2 |
10.0% | -37.5% | 0.54 | 0.27 | 11.8x | 94 | 36% |
| SMA 크로스오버 fast=18, slow=45 |
11.2% | -41.7% | 0.54 | 0.27 | 15.4x | 157 | 54% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=21, mult=2.3 |
9.4% | -37.8% | 0.53 | 0.25 | 10.3x | 94 | 33% |
| EMA 크로스오버 fast=27, slow=30 |
10.7% | -54.3% | 0.52 | 0.20 | 13.8x | 131 | 54% |
| Supertrend period=26, mult=4.7 |
10.3% | -55.6% | 0.52 | 0.19 | 12.6x | 66 | 56% |
| Donchian 채널 돌파 entryN=107, exitN=51 |
9.1% | -54.9% | 0.49 | 0.17 | 9.6x | 44 | 43% |
| Parabolic SAR step=0.005, maxStep=0.22 |
6.9% | -80.8% | 0.39 | 0.09 | 5.6x | 169 | 54% |
| ADX / DI 방향성 period=36, threshold=15 |
5.4% | -57.3% | 0.35 | 0.09 | 3.9x | 118 | 28% |
| ROC 모멘텀 n=87, threshold=-0.02 |
5.9% | -69.5% | 0.35 | 0.09 | 4.4x | 266 | 64% |
| MACD fast=24, slow=58, signal=14 |
5.4% | -74.0% | 0.33 | 0.07 | 3.9x | 267 | 50% |
| Buy and hold | 11.5% | -73.5% | 0.48 | 0.16 | 16.5x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 56-day average (2× volatility)
- Sell — Sell when the close falls back to the 56-day middle average