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 95.8%, MDD -34.6%).
Results by strategy
6 of 10 beat buy and hold (CAGR 115.4%, drawdown -90.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 153.5%, MDD -62.9%, Sharpe 1.76, 54% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 156.0%, MDD -62.9%, exposure 67%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 38.2%p higher than buy and hold, while drawdown improves by 27.9%p (CAGR 95.8%, 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 |
153.5% | -62.9% | 1.76 | 2.44 | 1630.7x | 12 | 54% |
| Supertrend period=15, mult=5 |
146.3% | -60.7% | 1.75 | 2.41 | 1297.2x | 12 | 53% |
| EMA 크로스오버 fast=24, slow=119 |
154.1% | -62.9% | 1.72 | 2.45 | 1658.2x | 4 | 62% |
| Donchian 채널 돌파 entryN=56, exitN=57 |
152.2% | -62.9% | 1.72 | 2.42 | 1564.5x | 4 | 61% |
| ADX / DI 방향성 period=39, threshold=11 |
156.0% | -62.9% | 1.72 | 2.48 | 1762.1x | 26 | 67% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=27, mult=3.6 |
95.8% | -34.6% | 1.67 | 2.77 | 208.8x | 18 | 17% |
| Parabolic SAR step=0.025, maxStep=0.3 |
130.7% | -67.5% | 1.57 | 1.94 | 768.8x | 162 | 47% |
| 볼린저 밴드 돌파 n=40, k=2.7 |
94.2% | -42.3% | 1.56 | 2.23 | 195.8x | 26 | 30% |
| ROC 모멘텀 n=81, threshold=0.1 |
111.2% | -62.9% | 1.50 | 1.77 | 382.2x | 56 | 49% |
| MACD fast=14, slow=46, signal=13 |
66.8% | -77.3% | 1.14 | 0.86 | 58.3x | 109 | 51% |
| Buy and hold | 115.4% | -90.8% | 1.32 | 1.27 | 445.8x | 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