Trend-Following Backtester · Guide · backtest 한국어

equity · ID

PT Bakrie & Brothers Tbk Class A backtest

10 trend-following strategies were compared on the full daily history of PT Bakrie & Brothers Tbk Class A. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.6%, MDD -71.4%).

Data 2000-09-28 ~ 2026-07-31daily bars 6,426 (25.8 years)Costs 0.5%Venue IDXMonthly snapshot 2026-07-31

Results by strategy

8 of 10 beat buy and hold (CAGR -15.5%, drawdown -99.7%).

Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.3%, MDD -78.4%, Sharpe 0.37, 13% exposure.

CAGR reference leader: 볼린저 밴드 돌파 — CAGR 6.6%, MDD -71.4%, exposure 9%.

Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 19.8%p higher than buy and hold, while drawdown improves by 21.3%p (CAGR 6.6%, MDD -71.4%, exposure 9%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ADX / DI 방향성
period=15, threshold=12
4.3%-78.4%0.370.063.0x11513%
SMA 크로스오버
fast=58, slow=111
5.6%-81.6%0.360.074.0x2614%
EMA 크로스오버
fast=52, slow=75
6.1%-78.2%0.360.084.6x1430%
볼린저 밴드 돌파
n=53, k=2.1
6.6%-71.4%0.360.095.3x269%
Parabolic SAR
step=0.025, maxStep=0.42
0.5%-96.0%0.350.001.1x12417%
Supertrend
period=17, mult=3.3
4.6%-83.9%0.320.063.2x5411%
Keltner 채널 돌파
emaPeriod=47, atrPeriod=20, mult=1.7
3.8%-78.0%0.270.052.6x3818%
ROC 모멘텀
n=145, threshold=0.03
-3.1%-92.4%0.16-0.030.4x7814%
MACD
fast=36, slow=56, signal=40
-19.3%-100.0%0.15-0.190.0x7221%
Donchian 채널 돌파
entryN=63, exitN=79
-39.6%-100.0%-0.25-0.400.0x6279%
Buy and hold-15.5%-99.7%0.45-0.160.0x1100%
0.01 0.1 1x 10x 2001 2005 2009 2013 2017 2021 2025 볼린저 밴드 돌파ADX / DI 방향성Buy and hold
ADX / DI 방향성 (Sharpe leader), 볼린저 밴드 돌파 (CAGR reference), Buy and hold.
0% -25% -50% -75% -100% 2001 2005 2009 2013 2017 2021 2025 Buy and hold볼린저 밴드 돌파ADX / DI 방향성
ADX / DI 방향성 maximum drawdown -78.4% (2001-08-17 → 2003-06-18), recovered after 8,875 days.

Rules of the top strategy

Looks at both the direction and the strength of the trend; holds only in a strong uptrend.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

Read next