Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Bumi Resources Minerals Tbk Class A backtest
10 trend-following strategies were compared on the full daily history of PT Bumi Resources Minerals Tbk Class A. 10 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 18.8%, MDD -41.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.3%, drawdown -93.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 18.8%, MDD -41.4%, Sharpe 0.62, 38% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 17.5%p higher than buy and hold, while drawdown improves by 52.3%p (CAGR 18.8%, MDD -41.4%, exposure 38%).
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=25, threshold=23 |
18.8% | -41.4% | 0.62 | 0.45 | 14.9x | 44 | 38% |
| SMA 크로스오버 fast=29, slow=188 |
16.4% | -64.6% | 0.55 | 0.25 | 10.9x | 24 | 41% |
| Donchian 채널 돌파 entryN=126, exitN=65 |
14.0% | -72.0% | 0.51 | 0.20 | 7.9x | 18 | 33% |
| EMA 크로스오버 fast=46, slow=172 |
14.0% | -67.0% | 0.51 | 0.21 | 7.8x | 18 | 38% |
| Supertrend period=3, mult=4.3 |
12.7% | -73.5% | 0.49 | 0.17 | 6.6x | 43 | 66% |
| ROC 모멘텀 n=113, threshold=-0.04 |
7.4% | -79.8% | 0.39 | 0.09 | 3.1x | 147 | 57% |
| MACD fast=10, slow=32, signal=8 |
5.8% | -65.3% | 0.35 | 0.09 | 2.4x | 257 | 53% |
| 볼린저 밴드 돌파 n=56, k=2.4 |
5.0% | -79.8% | 0.32 | 0.06 | 2.2x | 47 | 24% |
| Parabolic SAR step=0.015, maxStep=0.16 |
2.5% | -67.9% | 0.27 | 0.04 | 1.5x | 199 | 42% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=25, mult=2.4 |
1.6% | -84.4% | 0.23 | 0.02 | 1.3x | 63 | 25% |
| Buy and hold | 1.3% | -93.7% | 0.35 | 0.01 | 1.2x | 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, 25-day) is ≥ 23
- Sell — Sell when direction flips or the trend weakens (ADX < 23)