Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Chandra Asri Pacific Tbk backtest
10 trend-following strategies were compared on the full daily history of PT Chandra Asri Pacific Tbk. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.0%, MDD -53.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR 3.2%, drawdown -93.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 17.6%, MDD -60.9%, Sharpe 0.70, 40% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 14.4%p higher than buy and hold, while drawdown improves by 33.0%p (CAGR 8.0%, MDD -53.9%, exposure 28%).
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=25, slow=96 |
17.6% | -60.9% | 0.70 | 0.29 | 48.5x | 46 | 40% |
| EMA 크로스오버 fast=36, slow=63 |
16.0% | -66.5% | 0.65 | 0.24 | 35.0x | 42 | 56% |
| ROC 모멘텀 n=69, threshold=0 |
14.3% | -70.6% | 0.59 | 0.20 | 24.3x | 160 | 40% |
| Donchian 채널 돌파 entryN=64, exitN=73 |
10.7% | -89.9% | 0.55 | 0.12 | 11.5x | 28 | 69% |
| Supertrend period=24, mult=3.3 |
9.9% | -86.2% | 0.54 | 0.11 | 9.6x | 126 | 58% |
| Parabolic SAR step=0.03, maxStep=0.1 |
10.1% | -88.0% | 0.54 | 0.11 | 9.9x | 288 | 62% |
| ADX / DI 방향성 period=11, threshold=29 |
8.6% | -88.5% | 0.53 | 0.10 | 7.2x | 162 | 44% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=27, mult=2.2 |
8.0% | -53.9% | 0.44 | 0.15 | 6.3x | 122 | 28% |
| 볼린저 밴드 돌파 n=59, k=1.6 |
3.4% | -92.0% | 0.36 | 0.04 | 2.2x | 72 | 51% |
| MACD fast=10, slow=28, signal=18 |
3.4% | -75.6% | 0.26 | 0.05 | 2.2x | 261 | 38% |
| Buy and hold | 3.2% | -93.9% | 0.37 | 0.03 | 2.1x | 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 25-day average price crosses above the 96-day average
- Sell — Sell (to cash) when the 25-day average falls below the 96-day average