Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Archi Indonesia Tbk backtest
10 trend-following strategies were compared on the full daily history of PT Archi Indonesia Tbk. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 23.2%, MDD -25.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR 11.7%, drawdown -69.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 40.1%, MDD -32.5%, Sharpe 1.02, 44% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 28.4%p higher than buy and hold, while drawdown improves by 37.2%p (CAGR 23.2%, MDD -25.6%, exposure 17%).
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=53, slow=90 |
40.1% | -32.5% | 1.02 | 1.23 | 5.7x | 18 | 44% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=12, mult=4 |
32.1% | -26.0% | 1.00 | 1.24 | 4.2x | 2 | 15% |
| Donchian 채널 돌파 entryN=100, exitN=25 |
34.9% | -26.0% | 0.99 | 1.34 | 4.7x | 4 | 25% |
| 볼린저 밴드 돌파 n=58, k=3.2 |
29.2% | -26.0% | 0.92 | 1.12 | 3.8x | 6 | 17% |
| ROC 모멘텀 n=87, threshold=0.14 |
27.9% | -35.7% | 0.85 | 0.78 | 3.6x | 16 | 23% |
| ADX / DI 방향성 period=28, threshold=23 |
23.2% | -25.6% | 0.80 | 0.91 | 2.9x | 10 | 17% |
| EMA 크로스오버 fast=16, slow=179 |
24.8% | -45.8% | 0.75 | 0.54 | 3.1x | 7 | 30% |
| MACD fast=14, slow=48, signal=18 |
21.3% | -41.0% | 0.68 | 0.52 | 2.7x | 49 | 47% |
| Supertrend period=13, mult=4.6 |
18.0% | -59.3% | 0.60 | 0.30 | 2.3x | 13 | 63% |
| Parabolic SAR step=0.035, maxStep=0.1 |
16.7% | -51.3% | 0.59 | 0.33 | 2.2x | 107 | 44% |
| Buy and hold | 11.7% | -69.7% | 0.48 | 0.17 | 1.8x | 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 53-day average price crosses above the 90-day average
- Sell — Sell (to cash) when the 53-day average falls below the 90-day average