Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Bukit Asam (Persero) Tbk backtest
10 trend-following strategies were compared on the full daily history of PT Bukit Asam (Persero) Tbk. 6 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 14.0%, MDD -40.6%).
Results by strategy
6 of 10 beat buy and hold (CAGR 13.3%, drawdown -83.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 17.5%, MDD -51.4%, Sharpe 0.66, 56% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.2%p higher than buy and hold, while drawdown improves by 31.9%p (CAGR 14.0%, MDD -40.6%, exposure 33%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=14, slow=170 |
17.5% | -51.4% | 0.66 | 0.34 | 45.0x | 44 | 56% |
| 볼린저 밴드 돌파 n=33, k=2 |
14.0% | -40.6% | 0.64 | 0.34 | 21.9x | 128 | 33% |
| Donchian 채널 돌파 entryN=40, exitN=52 |
16.1% | -60.3% | 0.62 | 0.27 | 34.1x | 52 | 61% |
| Supertrend period=28, mult=3.5 |
13.9% | -63.9% | 0.59 | 0.22 | 21.8x | 120 | 50% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=13, mult=2.8 |
11.6% | -43.8% | 0.59 | 0.27 | 13.5x | 90 | 27% |
| SMA 크로스오버 fast=28, slow=195 |
14.2% | -60.3% | 0.58 | 0.24 | 23.0x | 36 | 54% |
| MACD fast=14, slow=29, signal=12 |
13.8% | -73.0% | 0.57 | 0.19 | 21.0x | 329 | 52% |
| Parabolic SAR step=0.005, maxStep=0.22 |
12.7% | -59.6% | 0.55 | 0.21 | 16.8x | 159 | 51% |
| ROC 모멘텀 n=143, threshold=0.12 |
9.4% | -45.9% | 0.46 | 0.21 | 8.4x | 160 | 41% |
| ADX / DI 방향성 period=12, threshold=29 |
7.3% | -50.0% | 0.44 | 0.15 | 5.2x | 190 | 21% |
| Buy and hold | 13.3% | -83.3% | 0.51 | 0.16 | 19.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 14-day EMA crosses above the 170-day EMA
- Sell — Sell when the 14-day EMA falls below the 170-day EMA