Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Indo Tambangraya Megah Tbk backtest
10 trend-following strategies were compared on the full daily history of PT Indo Tambangraya Megah Tbk. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.8%, MDD -19.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.5%, drawdown -91.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.0%, MDD -41.7%, Sharpe 0.73, 34% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 14.5%p higher than buy and hold, while drawdown improves by 50.0%p (CAGR 6.8%, MDD -19.2%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=130, exitN=75 |
16.0% | -41.7% | 0.73 | 0.38 | 15.9x | 11 | 34% |
| ROC 모멘텀 n=160, threshold=0.11 |
13.3% | -50.3% | 0.62 | 0.26 | 10.3x | 81 | 36% |
| SMA 크로스오버 fast=16, slow=172 |
13.6% | -57.8% | 0.61 | 0.24 | 10.9x | 37 | 45% |
| 볼린저 밴드 돌파 n=28, k=3.5 |
6.8% | -19.2% | 0.58 | 0.36 | 3.4x | 16 | 6% |
| EMA 크로스오버 fast=33, slow=193 |
12.8% | -54.8% | 0.58 | 0.23 | 9.5x | 21 | 44% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=21, mult=2.9 |
7.8% | -38.6% | 0.50 | 0.20 | 4.0x | 62 | 14% |
| Parabolic SAR step=0.015, maxStep=0.16 |
11.1% | -75.0% | 0.49 | 0.15 | 7.1x | 269 | 48% |
| Supertrend period=8, mult=3.8 |
10.4% | -71.7% | 0.47 | 0.15 | 6.4x | 107 | 49% |
| MACD fast=20, slow=50, signal=15 |
9.4% | -77.2% | 0.44 | 0.12 | 5.4x | 169 | 51% |
| ADX / DI 방향성 period=11, threshold=28 |
4.0% | -57.4% | 0.29 | 0.07 | 2.1x | 176 | 24% |
| Buy and hold | 1.5% | -91.7% | 0.26 | 0.02 | 1.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 130 days
- Sell — Sell when price breaks below the lowest low of the last 75 days