Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Telkom Indonesia (Persero) Tbk Class B backtest
10 trend-following strategies were compared on the full daily history of PT Telkom Indonesia (Persero) Tbk Class B. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.9%, MDD -34.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 5.4%, drawdown -60.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.9%, MDD -34.7%, Sharpe 0.37, 58% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 25.7%p (CAGR 5.9%, MDD -34.7%, exposure 58%).
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=22, slow=233 |
5.9% | -34.7% | 0.37 | 0.17 | 3.5x | 34 | 58% |
| EMA 크로스오버 fast=51, slow=151 |
5.5% | -41.1% | 0.35 | 0.13 | 3.2x | 28 | 59% |
| Donchian 채널 돌파 entryN=120, exitN=81 |
4.3% | -46.5% | 0.31 | 0.09 | 2.5x | 22 | 49% |
| Keltner 채널 돌파 emaPeriod=84, atrPeriod=34, mult=2 |
0.5% | -43.2% | 0.12 | 0.01 | 1.1x | 82 | 39% |
| Supertrend period=23, mult=3.8 |
-0.3% | -55.3% | 0.09 | -0.01 | 0.9x | 92 | 53% |
| 볼린저 밴드 돌파 n=52, k=2.3 |
-0.1% | -49.5% | 0.08 | -0.00 | 1.0x | 70 | 30% |
| ROC 모멘텀 n=83, threshold=-0.03 |
-2.8% | -77.8% | -0.01 | -0.04 | 0.5x | 244 | 63% |
| ADX / DI 방향성 period=28, threshold=33 |
-0.1% | -21.6% | -0.02 | -0.01 | 1.0x | 8 | 1% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-5.7% | -86.3% | -0.16 | -0.07 | 0.3x | 156 | 52% |
| MACD fast=25, slow=49, signal=29 |
-7.2% | -86.4% | -0.25 | -0.08 | 0.2x | 177 | 48% |
| Buy and hold | 5.4% | -60.5% | 0.33 | 0.09 | 3.2x | 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 22-day average price crosses above the 233-day average
- Sell — Sell (to cash) when the 22-day average falls below the 233-day average