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 35.1%, MDD -44.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR 27.1%, drawdown -96.5%).
Sharpe leader (same as main): Parabolic SAR — CAGR 51.5%, MDD -66.0%, Sharpe 1.11, 45% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 24.4%p higher than buy and hold, while drawdown improves by 30.5%p (CAGR 35.1%, 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 |
51.5% | -66.0% | 1.11 | 0.78 | 22347.8x | 145 | 45% |
| Supertrend period=24, mult=2.7 |
47.3% | -66.9% | 1.09 | 0.71 | 11350.0x | 175 | 37% |
| MACD fast=13, slow=78, signal=12 |
48.5% | -76.6% | 1.06 | 0.63 | 13684.9x | 245 | 50% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=15, mult=1.4 |
42.2% | -63.5% | 1.05 | 0.67 | 4864.8x | 201 | 25% |
| Donchian 채널 돌파 entryN=83, exitN=8 |
35.1% | -44.0% | 1.05 | 0.80 | 1396.1x | 78 | 17% |
| 볼린저 밴드 돌파 n=16, k=2.1 |
41.8% | -60.9% | 1.05 | 0.69 | 4532.9x | 200 | 27% |
| SMA 크로스오버 fast=23, slow=87 |
39.2% | -81.4% | 0.93 | 0.48 | 2888.2x | 66 | 49% |
| ADX / DI 방향성 period=12, threshold=9 |
35.8% | -91.8% | 0.86 | 0.39 | 1601.1x | 473 | 55% |
| ROC 모멘텀 n=108, threshold=0.11 |
32.4% | -82.1% | 0.85 | 0.39 | 867.9x | 134 | 39% |
| EMA 크로스오버 fast=17, slow=50 |
32.9% | -87.0% | 0.84 | 0.38 | 952.2x | 97 | 47% |
| Buy and hold | 27.1% | -96.5% | 0.69 | 0.28 | 325.2x | 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