Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Astra Agro Lestari Tbk backtest
10 trend-following strategies were compared on the full daily history of PT Astra Agro Lestari Tbk. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.5%, MDD -58.9%).
Results by strategy
5 of 10 beat buy and hold (CAGR 11.1%, drawdown -86.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 17.3%, MDD -78.5%, Sharpe 0.66, 64% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 6.2%p higher than buy and hold, while drawdown improves by 8.3%p (CAGR 14.5%, MDD -58.9%, exposure 52%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=14, exitN=24 |
17.3% | -78.5% | 0.66 | 0.22 | 57.8x | 141 | 64% |
| SMA 크로스오버 fast=24, slow=49 |
14.5% | -58.9% | 0.60 | 0.25 | 31.2x | 123 | 52% |
| 볼린저 밴드 돌파 n=38, k=1.6 |
12.2% | -85.8% | 0.56 | 0.14 | 18.7x | 156 | 37% |
| ROC 모멘텀 n=36, threshold=-0.08 |
12.9% | -87.6% | 0.53 | 0.15 | 22.0x | 277 | 79% |
| Supertrend period=16, mult=3.7 |
11.6% | -83.3% | 0.51 | 0.14 | 16.2x | 134 | 52% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=13, mult=1.1 |
9.9% | -86.6% | 0.48 | 0.11 | 11.2x | 197 | 45% |
| EMA 크로스오버 fast=16, slow=26 |
10.4% | -87.2% | 0.48 | 0.12 | 12.4x | 169 | 52% |
| ADX / DI 방향성 period=14, threshold=23 |
8.8% | -78.7% | 0.46 | 0.11 | 8.7x | 234 | 31% |
| Parabolic SAR step=0.04, maxStep=0.1 |
9.5% | -85.3% | 0.45 | 0.11 | 10.0x | 534 | 50% |
| MACD fast=13, slow=37, signal=8 |
6.2% | -80.9% | 0.35 | 0.08 | 4.6x | 434 | 49% |
| Buy and hold | 11.1% | -86.8% | 0.46 | 0.13 | 14.5x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 14 days
- Sell — Sell when price breaks below the lowest low of the last 24 days