Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Impack Pratama Industri Tbk backtest
10 trend-following strategies were compared on the full daily history of PT Impack Pratama Industri Tbk. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 31.3%, MDD -24.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 32.3%, drawdown -67.8%).
Sharpe leader (same as main): Supertrend — CAGR 33.2%, MDD -33.3%, Sharpe 1.21, 61% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 34.5%p (CAGR 31.3%, MDD -24.8%, exposure 46%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=17, mult=4.9 |
33.2% | -33.3% | 1.21 | 1.00 | 28.7x | 38 | 61% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=18, mult=2.4 |
31.3% | -24.8% | 1.19 | 1.26 | 24.1x | 46 | 46% |
| Donchian 채널 돌파 entryN=26, exitN=14 |
29.4% | -31.9% | 1.12 | 0.92 | 20.4x | 64 | 52% |
| ADX / DI 방향성 period=27, threshold=19 |
27.6% | -36.6% | 1.09 | 0.75 | 17.3x | 54 | 30% |
| 볼린저 밴드 돌파 n=47, k=2.8 |
25.6% | -22.4% | 1.08 | 1.14 | 14.3x | 34 | 31% |
| EMA 크로스오버 fast=20, slow=42 |
28.2% | -41.5% | 1.04 | 0.68 | 18.4x | 44 | 64% |
| SMA 크로스오버 fast=59, slow=120 |
28.6% | -58.3% | 1.02 | 0.49 | 19.0x | 22 | 62% |
| ROC 모멘텀 n=100, threshold=0.04 |
25.8% | -50.6% | 0.97 | 0.51 | 14.7x | 88 | 51% |
| Parabolic SAR step=0.005, maxStep=0.36 |
21.2% | -38.4% | 0.84 | 0.55 | 9.5x | 80 | 57% |
| MACD fast=17, slow=53, signal=18 |
13.8% | -49.4% | 0.62 | 0.28 | 4.6x | 122 | 46% |
| Buy and hold | 32.3% | -67.8% | 0.96 | 0.48 | 26.5x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 17-day volatility, 4.9× band
- Sell — Sell when price drops below the trend line (flips down)