Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Japfa Comfeed Indonesia Tbk Class A backtest
10 trend-following strategies were compared on the full daily history of PT Japfa Comfeed Indonesia Tbk Class A. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 17.7%, MDD -48.0%).
Results by strategy
7 of 10 beat buy and hold (CAGR 12.2%, drawdown -90.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 17.7%, MDD -48.0%, Sharpe 0.66, 29% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.5%p higher than buy and hold, while drawdown improves by 42.9%p (CAGR 17.7%, MDD -48.0%, exposure 29%).
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=54, k=2.8 |
17.7% | -48.0% | 0.66 | 0.37 | 64.5x | 60 | 29% |
| SMA 크로스오버 fast=46, slow=177 |
17.0% | -57.4% | 0.59 | 0.30 | 55.9x | 36 | 53% |
| Donchian 채널 돌파 entryN=44, exitN=76 |
16.7% | -85.6% | 0.59 | 0.20 | 52.1x | 43 | 72% |
| MACD fast=22, slow=41, signal=42 |
17.2% | -89.4% | 0.59 | 0.19 | 58.0x | 173 | 52% |
| EMA 크로스오버 fast=53, slow=114 |
16.2% | -52.6% | 0.58 | 0.31 | 47.0x | 42 | 52% |
| ADX / DI 방향성 period=11, threshold=39 |
11.9% | -52.5% | 0.56 | 0.23 | 17.7x | 126 | 16% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=29, mult=4 |
13.8% | -58.9% | 0.55 | 0.23 | 27.0x | 64 | 28% |
| ROC 모멘텀 n=173, threshold=0 |
14.7% | -63.3% | 0.54 | 0.23 | 33.2x | 128 | 53% |
| Parabolic SAR step=0.02, maxStep=0.38 |
11.9% | -84.2% | 0.48 | 0.14 | 17.9x | 392 | 52% |
| Supertrend period=11, mult=3.5 |
8.5% | -87.3% | 0.40 | 0.10 | 8.1x | 163 | 59% |
| Buy and hold | 12.2% | -90.9% | 0.51 | 0.13 | 19.0x | 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 54-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 54-day middle average