Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Bumi Resources Tbk Class A backtest
10 trend-following strategies were compared on the full daily history of PT Bumi Resources Tbk Class A. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 33.5%, MDD -53.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR 4.8%, drawdown -99.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 33.5%, MDD -53.9%, Sharpe 0.89, 24% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 28.6%p higher than buy and hold, while drawdown improves by 45.5%p (CAGR 33.5%, MDD -53.9%, exposure 24%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=26, mult=3.6 |
33.5% | -53.9% | 0.89 | 0.62 | 1424.4x | 48 | 24% |
| EMA 크로스오버 fast=18, slow=84 |
33.1% | -72.7% | 0.83 | 0.46 | 1331.9x | 54 | 39% |
| SMA 크로스오버 fast=13, slow=185 |
32.8% | -76.5% | 0.82 | 0.43 | 1264.1x | 44 | 40% |
| ADX / DI 방향성 period=34, threshold=27 |
27.2% | -60.6% | 0.81 | 0.45 | 421.1x | 32 | 14% |
| 볼린저 밴드 돌파 n=53, k=2.8 |
27.7% | -67.5% | 0.77 | 0.41 | 470.1x | 54 | 23% |
| ROC 모멘텀 n=114, threshold=0.11 |
28.2% | -66.9% | 0.75 | 0.42 | 519.4x | 142 | 35% |
| Supertrend period=24, mult=3.6 |
28.2% | -81.4% | 0.73 | 0.35 | 518.4x | 105 | 41% |
| Donchian 채널 돌파 entryN=96, exitN=72 |
26.9% | -67.4% | 0.71 | 0.40 | 398.7x | 36 | 42% |
| Parabolic SAR step=0.005, maxStep=0.12 |
25.9% | -74.4% | 0.68 | 0.35 | 328.6x | 145 | 47% |
| MACD fast=24, slow=75, signal=69 |
21.9% | -94.3% | 0.62 | 0.23 | 146.4x | 101 | 53% |
| Buy and hold | 4.8% | -99.4% | 0.44 | 0.05 | 3.3x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 59-day average + 3.6× volatility (Keltner top)
- Sell — Sell when the close falls back to the 59-day average