Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Bank CIMB Niaga Tbk Class A backtest
10 trend-following strategies were compared on the full daily history of PT Bank CIMB Niaga Tbk Class A. 7 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 11.2%, MDD -51.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR 8.5%, drawdown -82.6%).
Sharpe leader (same as main): Parabolic SAR — CAGR 12.8%, MDD -56.9%, Sharpe 0.56, 48% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 14.2%, MDD -59.8%, exposure 77%.
Return/drawdown alternative: Supertrend — CAGR is 4.3%p higher than buy and hold, while drawdown improves by 25.7%p (CAGR 11.2%, MDD -51.9%, exposure 60%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.01, maxStep=0.26 |
12.8% | -56.9% | 0.56 | 0.22 | 17.5x | 240 | 48% |
| Donchian 채널 돌파 entryN=10, exitN=54 |
14.2% | -59.8% | 0.56 | 0.24 | 23.8x | 81 | 77% |
| Supertrend period=28, mult=5 |
11.2% | -51.9% | 0.51 | 0.22 | 12.6x | 59 | 60% |
| ADX / DI 방향성 period=13, threshold=40 |
7.4% | -40.9% | 0.50 | 0.18 | 5.5x | 70 | 10% |
| 볼린저 밴드 돌파 n=27, k=1.4 |
9.7% | -55.8% | 0.48 | 0.17 | 9.1x | 201 | 36% |
| MACD fast=24, slow=30, signal=25 |
10.0% | -69.5% | 0.47 | 0.14 | 9.6x | 217 | 50% |
| SMA 크로스오버 fast=6, slow=23 |
8.9% | -65.4% | 0.44 | 0.14 | 7.6x | 299 | 49% |
| EMA 크로스오버 fast=14, slow=26 |
8.8% | -54.8% | 0.43 | 0.16 | 7.5x | 159 | 50% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=28, mult=3.8 |
5.6% | -30.8% | 0.40 | 0.18 | 3.6x | 40 | 9% |
| ROC 모멘텀 n=58, threshold=-0.04 |
5.3% | -74.7% | 0.32 | 0.07 | 3.4x | 287 | 64% |
| Buy and hold | 8.5% | -82.6% | 0.41 | 0.10 | 6.9x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots