Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Pantai Indah Kapuk Dua Tbk backtest
10 trend-following strategies were compared on the full daily history of PT Pantai Indah Kapuk Dua Tbk. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 97.2%, MDD -34.6%).
Results by strategy
6 of 10 beat buy and hold (CAGR 119.1%, drawdown -90.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 156.1%, MDD -62.9%, Sharpe 1.77, 55% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 158.6%, MDD -62.9%, exposure 68%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 37.0%p higher than buy and hold, while drawdown improves by 27.9%p (CAGR 97.2%, MDD -34.6%, exposure 17%).
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=43, slow=101 |
156.1% | -62.9% | 1.77 | 2.48 | 1630.7x | 12 | 55% |
| Supertrend period=15, mult=5 |
148.7% | -60.7% | 1.76 | 2.45 | 1297.2x | 12 | 53% |
| EMA 크로스오버 fast=24, slow=119 |
156.6% | -62.9% | 1.73 | 2.49 | 1658.2x | 4 | 62% |
| Donchian 채널 돌파 entryN=56, exitN=57 |
154.7% | -62.9% | 1.73 | 2.46 | 1564.5x | 4 | 62% |
| ADX / DI 방향성 period=39, threshold=11 |
158.6% | -62.9% | 1.73 | 2.52 | 1762.1x | 26 | 68% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=27, mult=3.6 |
97.2% | -34.6% | 1.68 | 2.81 | 208.8x | 18 | 17% |
| Parabolic SAR step=0.025, maxStep=0.3 |
133.8% | -67.5% | 1.58 | 1.98 | 795.6x | 160 | 48% |
| 볼린저 밴드 돌파 n=40, k=2.7 |
95.6% | -42.3% | 1.56 | 2.26 | 195.8x | 26 | 30% |
| ROC 모멘텀 n=81, threshold=0.1 |
113.0% | -62.9% | 1.51 | 1.80 | 382.2x | 56 | 49% |
| MACD fast=14, slow=46, signal=13 |
69.2% | -77.3% | 1.16 | 0.89 | 62.6x | 109 | 50% |
| Buy and hold | 119.1% | -90.8% | 1.33 | 1.31 | 478.3x | 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 43-day average price crosses above the 101-day average
- Sell — Sell (to cash) when the 43-day average falls below the 101-day average