Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Bayan Resources Tbk backtest
10 trend-following strategies were compared on the full daily history of PT Bayan Resources Tbk. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 32.9%, MDD -26.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR 18.8%, drawdown -84.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 33.9%, MDD -28.2%, Sharpe 1.36, 23% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 35.1%, MDD -46.7%, exposure 53%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 15.1%p higher than buy and hold, while drawdown improves by 56.7%p (CAGR 32.9%, MDD -26.0%, exposure 21%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=59, k=3.3 |
33.9% | -28.2% | 1.36 | 1.20 | 189.8x | 26 | 23% |
| ROC 모멘텀 n=49, threshold=0.13 |
32.9% | -26.0% | 1.31 | 1.27 | 165.6x | 80 | 21% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=14, mult=3.9 |
30.6% | -42.7% | 1.20 | 0.72 | 121.4x | 44 | 29% |
| EMA 크로스오버 fast=37, slow=58 |
35.1% | -46.7% | 1.20 | 0.75 | 222.7x | 28 | 53% |
| SMA 크로스오버 fast=20, slow=85 |
33.7% | -49.8% | 1.19 | 0.68 | 185.4x | 43 | 53% |
| ADX / DI 방향성 period=34, threshold=25 |
28.0% | -29.6% | 1.14 | 0.95 | 83.8x | 60 | 26% |
| Donchian 채널 돌파 entryN=102, exitN=28 |
27.3% | -33.2% | 1.13 | 0.82 | 76.0x | 40 | 31% |
| MACD fast=25, slow=68, signal=34 |
26.9% | -54.8% | 0.97 | 0.49 | 72.3x | 101 | 46% |
| Parabolic SAR step=0.01, maxStep=0.28 |
24.2% | -59.6% | 0.87 | 0.41 | 48.8x | 147 | 49% |
| Supertrend period=8, mult=4.9 |
23.1% | -73.4% | 0.85 | 0.31 | 41.9x | 75 | 50% |
| Buy and hold | 18.8% | -84.8% | 0.62 | 0.22 | 22.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 59-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 59-day middle average