Trend-Following Backtester · Guide · backtest 한국어
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PT TIMAH (Persero) Tbk backtest
10 trend-following strategies were compared on the full daily history of PT TIMAH (Persero) Tbk. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 22.5%, MDD -50.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR 15.2%, drawdown -86.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 32.2%, MDD -60.1%, Sharpe 0.93, 37% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 17.0%p higher than buy and hold, while drawdown improves by 26.5%p (CAGR 22.5%, MDD -50.2%, exposure 22%).
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=35, k=1.3 |
32.2% | -60.1% | 0.93 | 0.54 | 1213.3x | 163 | 37% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=29, mult=1.4 |
30.0% | -51.8% | 0.90 | 0.58 | 795.8x | 171 | 35% |
| SMA 크로스오버 fast=6, slow=48 |
28.6% | -65.3% | 0.82 | 0.44 | 601.2x | 169 | 47% |
| ROC 모멘텀 n=40, threshold=0.18 |
22.5% | -50.2% | 0.79 | 0.45 | 175.1x | 227 | 22% |
| ADX / DI 방향성 period=20, threshold=23 |
22.1% | -55.7% | 0.78 | 0.40 | 161.3x | 124 | 24% |
| Donchian 채널 돌파 entryN=70, exitN=48 |
25.7% | -68.7% | 0.77 | 0.37 | 336.4x | 47 | 44% |
| EMA 크로스오버 fast=29, slow=86 |
25.4% | -64.1% | 0.76 | 0.40 | 319.7x | 63 | 48% |
| Parabolic SAR step=0.035, maxStep=0.26 |
24.5% | -61.6% | 0.75 | 0.40 | 264.0x | 612 | 48% |
| Supertrend period=18, mult=2.9 |
23.2% | -72.5% | 0.73 | 0.32 | 202.0x | 185 | 46% |
| MACD fast=18, slow=52, signal=12 |
21.5% | -54.8% | 0.68 | 0.39 | 143.8x | 287 | 51% |
| Buy and hold | 15.2% | -86.6% | 0.53 | 0.18 | 36.6x | 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 35-day average (1.3× volatility)
- Sell — Sell when the close falls back to the 35-day middle average