Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Barito Pacific Tbk backtest
10 trend-following strategies were compared on the full daily history of PT Barito Pacific Tbk. 10 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 34.9%, MDD -44.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR 26.9%, drawdown -96.5%).
Sharpe leader (same as main): Parabolic SAR — CAGR 51.1%, MDD -66.0%, Sharpe 1.10, 45% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 24.2%p higher than buy and hold, while drawdown improves by 30.5%p (CAGR 34.9%, MDD -44.0%, exposure 17%).
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=0.005, maxStep=0.34 |
51.1% | -66.0% | 1.10 | 0.77 | 21621.0x | 145 | 45% |
| Supertrend period=24, mult=2.7 |
46.9% | -66.9% | 1.08 | 0.70 | 10980.9x | 175 | 37% |
| MACD fast=13, slow=78, signal=12 |
48.2% | -76.6% | 1.06 | 0.63 | 13579.6x | 246 | 50% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=15, mult=1.4 |
42.0% | -63.5% | 1.05 | 0.66 | 4774.9x | 202 | 25% |
| Donchian 채널 돌파 entryN=83, exitN=8 |
34.9% | -44.0% | 1.05 | 0.79 | 1396.1x | 78 | 17% |
| 볼린저 밴드 돌파 n=16, k=2.1 |
41.6% | -60.9% | 1.05 | 0.68 | 4532.9x | 200 | 27% |
| SMA 크로스오버 fast=23, slow=87 |
38.8% | -81.4% | 0.92 | 0.48 | 2780.4x | 67 | 49% |
| ADX / DI 방향성 period=12, threshold=9 |
35.4% | -91.8% | 0.85 | 0.39 | 1511.0x | 474 | 55% |
| ROC 모멘텀 n=108, threshold=0.11 |
32.0% | -82.1% | 0.85 | 0.39 | 824.3x | 135 | 39% |
| EMA 크로스오버 fast=17, slow=50 |
32.6% | -87.0% | 0.83 | 0.38 | 921.2x | 97 | 47% |
| Buy and hold | 26.9% | -96.5% | 0.68 | 0.28 | 314.7x | 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