Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Kalbe Farma Tbk backtest
10 trend-following strategies were compared on the full daily history of PT Kalbe Farma Tbk. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 14.8%, MDD -34.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 14.0%, drawdown -76.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.8%, MDD -34.5%, Sharpe 0.67, 62% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 42.4%p (CAGR 14.8%, MDD -34.5%, exposure 62%).
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=49, exitN=78 |
14.8% | -34.5% | 0.67 | 0.43 | 23.0x | 29 | 62% |
| SMA 크로스오버 fast=57, slow=141 |
13.7% | -45.4% | 0.64 | 0.30 | 18.4x | 36 | 57% |
| EMA 크로스오버 fast=27, slow=206 |
11.3% | -41.5% | 0.55 | 0.27 | 11.4x | 30 | 63% |
| 볼린저 밴드 돌파 n=50, k=2 |
8.9% | -47.0% | 0.53 | 0.19 | 6.9x | 85 | 34% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=18, mult=2.4 |
9.0% | -42.8% | 0.52 | 0.21 | 7.0x | 76 | 36% |
| Supertrend period=16, mult=4.3 |
13.8% | -63.3% | 0.51 | 0.22 | 18.7x | 63 | 60% |
| ADX / DI 방향성 period=38, threshold=18 |
8.2% | -35.7% | 0.49 | 0.23 | 6.0x | 54 | 23% |
| ROC 모멘텀 n=91, threshold=-0.08 |
6.5% | -66.9% | 0.37 | 0.10 | 4.2x | 152 | 71% |
| Parabolic SAR step=0.005, maxStep=0.38 |
3.7% | -71.5% | 0.25 | 0.05 | 2.3x | 151 | 52% |
| MACD fast=19, slow=55, signal=18 |
-4.8% | -86.3% | -0.08 | -0.06 | 0.3x | 235 | 49% |
| Buy and hold | 14.0% | -76.9% | 0.49 | 0.18 | 19.5x | 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 49 days
- Sell — Sell when price breaks below the lowest low of the last 78 days