Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Rukun Raharja Tbk backtest
10 trend-following strategies were compared on the full daily history of PT Rukun Raharja Tbk. 9 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 39.9%, MDD -51.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR 27.5%, drawdown -93.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 39.9%, MDD -51.7%, Sharpe 1.00, 27% exposure.
CAGR reference leader: Supertrend — CAGR 41.2%, MDD -71.5%, exposure 48%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 12.4%p higher than buy and hold, while drawdown improves by 41.4%p (CAGR 39.9%, MDD -51.7%, exposure 27%).
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=41, k=2.4 |
39.9% | -51.7% | 1.00 | 0.77 | 2673.8x | 74 | 27% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=20, mult=3.6 |
30.9% | -58.9% | 0.89 | 0.52 | 559.1x | 46 | 22% |
| Supertrend period=11, mult=2.5 |
41.2% | -71.5% | 0.88 | 0.58 | 3352.1x | 163 | 48% |
| SMA 크로스오버 fast=32, slow=99 |
35.9% | -65.9% | 0.85 | 0.54 | 1361.4x | 51 | 43% |
| EMA 크로스오버 fast=21, slow=46 |
35.2% | -74.3% | 0.85 | 0.47 | 1202.0x | 79 | 43% |
| ROC 모멘텀 n=89, threshold=0.12 |
33.3% | -65.1% | 0.84 | 0.51 | 864.1x | 129 | 35% |
| Parabolic SAR step=0.01, maxStep=0.32 |
34.9% | -75.7% | 0.81 | 0.46 | 1143.5x | 212 | 46% |
| Donchian 채널 돌파 entryN=90, exitN=22 |
30.9% | -70.2% | 0.79 | 0.44 | 564.9x | 46 | 33% |
| ADX / DI 방향성 period=18, threshold=18 |
28.6% | -74.7% | 0.75 | 0.38 | 374.0x | 183 | 42% |
| MACD fast=31, slow=44, signal=19 |
27.3% | -77.2% | 0.71 | 0.35 | 291.9x | 167 | 52% |
| Buy and hold | 27.5% | -93.0% | 0.69 | 0.30 | 302.5x | 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 41-day average (2.4× volatility)
- Sell — Sell when the close falls back to the 41-day middle average