Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Ultrajaya Milk Industry & Trading Co. Tbk backtest
10 trend-following strategies were compared on the full daily history of PT Ultrajaya Milk Industry & Trading Co. Tbk. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 16.3%, drawdown -64.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.5%, MDD -22.2%, Sharpe 0.49, 5% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 9.1%, MDD -64.9%, exposure 97%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=39, threshold=34 |
5.5% | -22.2% | 0.49 | 0.25 | 3.0x | 10 | 5% |
| ROC 모멘텀 Hold-like · Exposure 97% n=7, threshold=-0.1 |
9.1% | -64.9% | 0.41 | 0.14 | 6.2x | 113 | 97% |
| SMA 크로스오버 fast=68, slow=181 |
8.4% | -64.8% | 0.39 | 0.13 | 5.4x | 32 | 57% |
| Donchian 채널 돌파 entryN=75, exitN=23 |
6.7% | -53.9% | 0.37 | 0.12 | 3.9x | 46 | 31% |
| EMA 크로스오버 fast=17, slow=230 |
6.3% | -63.5% | 0.34 | 0.10 | 3.6x | 47 | 59% |
| MACD fast=17, slow=35, signal=19 |
2.1% | -84.9% | 0.23 | 0.02 | 1.5x | 247 | 50% |
| Supertrend period=18, mult=4.6 |
2.0% | -70.0% | 0.23 | 0.03 | 1.5x | 84 | 53% |
| 볼린저 밴드 돌파 n=49, k=2.6 |
1.2% | -63.8% | 0.18 | 0.02 | 1.3x | 74 | 25% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-2.2% | -75.7% | 0.10 | -0.03 | 0.6x | 137 | 51% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=19, mult=4 |
-0.6% | -63.0% | 0.08 | -0.01 | 0.9x | 50 | 10% |
| Buy and hold | 16.3% | -64.0% | 0.55 | 0.26 | 23.6x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 39-day) is ≥ 34
- Sell — Sell when direction flips or the trend weakens (ADX < 34)