Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Bank Syariah Indonesia (Persero) Tbk backtest
10 trend-following strategies were compared on the full daily history of PT Bank Syariah Indonesia (Persero) Tbk. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 31.2%, MDD -35.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR 15.5%, drawdown -79.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 31.2%, MDD -35.3%, Sharpe 1.01, 13% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 15.6%p higher than buy and hold, while drawdown improves by 44.3%p (CAGR 31.2%, MDD -35.3%, exposure 13%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=28, threshold=24 |
31.2% | -35.3% | 1.01 | 0.88 | 9.5x | 6 | 13% |
| Donchian 채널 돌파 entryN=98, exitN=21 |
28.6% | -37.4% | 0.96 | 0.77 | 8.1x | 8 | 17% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=14, mult=4 |
27.9% | -35.3% | 0.95 | 0.79 | 7.7x | 8 | 16% |
| ROC 모멘텀 n=52, threshold=0.13 |
29.5% | -54.0% | 0.94 | 0.55 | 8.6x | 44 | 21% |
| SMA 크로스오버 fast=55, slow=90 |
30.9% | -47.4% | 0.94 | 0.65 | 9.4x | 20 | 35% |
| 볼린저 밴드 돌파 n=48, k=1.9 |
30.1% | -46.6% | 0.93 | 0.65 | 8.9x | 22 | 24% |
| EMA 크로스오버 fast=14, slow=47 |
27.6% | -49.5% | 0.83 | 0.56 | 7.6x | 34 | 40% |
| Supertrend period=9, mult=4.3 |
22.3% | -54.7% | 0.71 | 0.41 | 5.3x | 28 | 48% |
| Parabolic SAR step=0.005, maxStep=0.36 |
17.3% | -65.2% | 0.61 | 0.27 | 3.8x | 53 | 45% |
| MACD fast=13, slow=31, signal=11 |
8.8% | -57.3% | 0.41 | 0.15 | 2.0x | 122 | 47% |
| Buy and hold | 15.5% | -79.5% | 0.53 | 0.20 | 3.3x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 28-day) is ≥ 24
- Sell — Sell when direction flips or the trend weakens (ADX < 24)