Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Unilever Indonesia Tbk backtest
10 trend-following strategies were compared on the full daily history of PT Unilever Indonesia Tbk. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.4%, MDD -41.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 4.2%, drawdown -90.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.5%, MDD -43.0%, Sharpe 0.38, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 47.9%p (CAGR 5.4%, MDD -41.3%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=37, slow=135 |
6.5% | -43.0% | 0.38 | 0.15 | 4.2x | 30 | 59% |
| Donchian 채널 돌파 entryN=33, exitN=44 |
5.8% | -59.0% | 0.35 | 0.10 | 3.6x | 62 | 63% |
| SMA 크로스오버 fast=35, slow=171 |
5.4% | -41.3% | 0.34 | 0.13 | 3.4x | 36 | 55% |
| Supertrend period=29, mult=4.4 |
2.6% | -50.1% | 0.23 | 0.05 | 1.8x | 72 | 57% |
| Parabolic SAR step=0.005, maxStep=0.34 |
1.8% | -58.5% | 0.20 | 0.03 | 1.5x | 151 | 49% |
| 볼린저 밴드 돌파 n=47, k=2.3 |
0.3% | -55.5% | 0.11 | 0.01 | 1.1x | 90 | 27% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=29, mult=2.9 |
0.5% | -45.4% | 0.11 | 0.01 | 1.1x | 74 | 16% |
| ADX / DI 방향성 period=28, threshold=16 |
0.2% | -49.2% | 0.10 | 0.00 | 1.0x | 134 | 28% |
| ROC 모멘텀 n=131, threshold=0.03 |
-0.8% | -69.5% | 0.08 | -0.01 | 0.8x | 202 | 49% |
| MACD fast=16, slow=53, signal=22 |
-5.0% | -85.8% | -0.09 | -0.06 | 0.3x | 253 | 49% |
| Buy and hold | 4.2% | -90.9% | 0.29 | 0.05 | 2.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 37-day EMA crosses above the 135-day EMA
- Sell — Sell when the 37-day EMA falls below the 135-day EMA