Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Bank Rakyat Indonesia (Persero) Tbk Class B backtest
10 trend-following strategies were compared on the full daily history of PT Bank Rakyat Indonesia (Persero) Tbk Class B. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 13.6%, MDD -54.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 17.1%, drawdown -69.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.6%, MDD -54.7%, Sharpe 0.56, 88% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.4%p lower than buy and hold, while drawdown improves by 14.9%p (CAGR 13.6%, MDD -54.7%, exposure 88%).
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=85 |
13.6% | -54.7% | 0.56 | 0.25 | 18.5x | 49 | 88% |
| EMA 크로스오버 fast=47, slow=180 |
10.7% | -35.5% | 0.52 | 0.30 | 10.1x | 22 | 69% |
| ROC 모멘텀 n=130, threshold=-0.01 |
10.5% | -43.2% | 0.51 | 0.24 | 9.7x | 150 | 69% |
| Supertrend period=12, mult=5 |
9.7% | -45.3% | 0.49 | 0.21 | 8.3x | 73 | 61% |
| SMA 크로스오버 fast=27, slow=201 |
8.0% | -45.3% | 0.43 | 0.18 | 5.8x | 34 | 65% |
| Keltner 채널 돌파 emaPeriod=70, atrPeriod=13, mult=2.6 |
5.6% | -33.7% | 0.37 | 0.17 | 3.5x | 89 | 44% |
| 볼린저 밴드 돌파 n=57, k=1.1 |
4.0% | -37.4% | 0.29 | 0.11 | 2.4x | 135 | 51% |
| MACD fast=24, slow=44, signal=24 |
3.1% | -60.8% | 0.25 | 0.05 | 2.0x | 205 | 50% |
| ADX / DI 방향성 period=21, threshold=14 |
-0.9% | -66.9% | 0.07 | -0.01 | 0.8x | 247 | 42% |
| Parabolic SAR step=0.025, maxStep=0.24 |
-2.7% | -81.9% | 0.02 | -0.03 | 0.5x | 483 | 53% |
| Buy and hold | 17.1% | -69.6% | 0.61 | 0.25 | 36.5x | 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 85 days