Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Indah Kiat Pulp & Paper Tbk backtest
10 trend-following strategies were compared on the full daily history of PT Indah Kiat Pulp & Paper Tbk. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 23.1%, MDD -52.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR 9.0%, drawdown -87.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 29.4%, MDD -54.2%, Sharpe 0.87, 49% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 20.5%p higher than buy and hold, while drawdown improves by 33.5%p (CAGR 23.1%, MDD -52.5%, exposure 35%).
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=10, slow=58 |
29.4% | -54.2% | 0.87 | 0.54 | 745.5x | 123 | 49% |
| EMA 크로스오버 fast=15, slow=34 |
26.9% | -67.9% | 0.81 | 0.40 | 444.8x | 129 | 50% |
| 볼린저 밴드 돌파 n=48, k=1.5 |
23.1% | -52.5% | 0.79 | 0.44 | 207.6x | 115 | 35% |
| Keltner 채널 돌파 emaPeriod=64, atrPeriod=15, mult=2.3 |
22.2% | -62.9% | 0.77 | 0.35 | 171.0x | 80 | 34% |
| Donchian 채널 돌파 entryN=64, exitN=14 |
20.8% | -56.0% | 0.76 | 0.37 | 128.0x | 70 | 27% |
| ROC 모멘텀 n=67, threshold=0.13 |
20.5% | -55.0% | 0.72 | 0.37 | 118.2x | 220 | 33% |
| Supertrend period=9, mult=3.9 |
20.9% | -70.3% | 0.67 | 0.30 | 129.6x | 101 | 53% |
| ADX / DI 방향성 period=16, threshold=23 |
16.8% | -56.7% | 0.63 | 0.30 | 53.0x | 198 | 30% |
| MACD fast=13, slow=38, signal=16 |
17.2% | -70.4% | 0.60 | 0.25 | 59.0x | 291 | 52% |
| Parabolic SAR step=0.02, maxStep=0.26 |
12.2% | -79.0% | 0.49 | 0.15 | 19.0x | 419 | 49% |
| Buy and hold | 9.0% | -87.6% | 0.43 | 0.10 | 9.0x | 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 10-day average price crosses above the 58-day average
- Sell — Sell (to cash) when the 10-day average falls below the 58-day average