Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Charoen Pokphand Indonesia Tbk backtest
10 trend-following strategies were compared on the full daily history of PT Charoen Pokphand Indonesia Tbk. 2 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 24.6%, MDD -55.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 24.4%, drawdown -74.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 18.8%, MDD -32.0%, Sharpe 0.89, 19% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 29.4%, MDD -63.4%, exposure 75%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.5%p lower than buy and hold, while drawdown improves by 42.5%p (CAGR 24.6%, MDD -55.5%, exposure 58%).
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=47, threshold=22 |
18.8% | -32.0% | 0.89 | 0.59 | 37.0x | 26 | 19% |
| Donchian 채널 돌파 entryN=31, exitN=83 |
29.4% | -63.4% | 0.87 | 0.46 | 218.2x | 36 | 75% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=16, mult=3.5 |
19.6% | -40.2% | 0.81 | 0.49 | 42.0x | 42 | 26% |
| SMA 크로스오버 fast=25, slow=124 |
24.6% | -55.5% | 0.80 | 0.44 | 99.9x | 50 | 58% |
| EMA 크로스오버 fast=38, slow=106 |
21.9% | -71.6% | 0.74 | 0.31 | 62.8x | 40 | 59% |
| 볼린저 밴드 돌파 n=36, k=3.3 |
14.0% | -32.2% | 0.71 | 0.44 | 15.6x | 26 | 12% |
| Supertrend period=10, mult=5 |
19.7% | -64.9% | 0.69 | 0.30 | 42.7x | 62 | 61% |
| ROC 모멘텀 n=139, threshold=0.23 |
16.6% | -65.6% | 0.67 | 0.25 | 25.0x | 124 | 32% |
| MACD fast=19, slow=41, signal=19 |
13.1% | -77.8% | 0.54 | 0.17 | 13.2x | 219 | 49% |
| Parabolic SAR step=0.015, maxStep=0.16 |
4.8% | -83.7% | 0.31 | 0.06 | 2.7x | 320 | 51% |
| Buy and hold | 24.4% | -74.5% | 0.71 | 0.33 | 95.7x | 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, 47-day) is ≥ 22
- Sell — Sell when direction flips or the trend weakens (ADX < 22)