Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Dian Swastatika Sentosa Tbk backtest
10 trend-following strategies were compared on the full daily history of PT Dian Swastatika Sentosa Tbk. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 42.7%, MDD -44.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR 31.4%, drawdown -90.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 42.7%, MDD -44.3%, Sharpe 1.21, 27% exposure.
CAGR reference leader: Parabolic SAR — CAGR 49.2%, MDD -49.9%, exposure 46%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 11.3%p higher than buy and hold, while drawdown improves by 46.4%p (CAGR 42.7%, MDD -44.3%, exposure 27%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=38, threshold=0.09 |
42.7% | -44.3% | 1.21 | 0.96 | 371.5x | 105 | 27% |
| Parabolic SAR step=0.02, maxStep=0.1 |
49.2% | -49.9% | 1.21 | 0.99 | 782.5x | 121 | 46% |
| SMA 크로스오버 fast=34, slow=42 |
45.1% | -47.0% | 1.21 | 0.96 | 490.4x | 105 | 46% |
| Supertrend period=22, mult=5 |
41.2% | -59.1% | 1.15 | 0.70 | 310.4x | 76 | 42% |
| 볼린저 밴드 돌파 n=43, k=2.1 |
37.6% | -55.9% | 1.13 | 0.67 | 203.0x | 58 | 31% |
| Donchian 채널 돌파 entryN=118, exitN=24 |
35.5% | -47.9% | 1.13 | 0.74 | 156.2x | 34 | 24% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=9, mult=4 |
34.5% | -56.8% | 1.13 | 0.61 | 138.1x | 66 | 25% |
| EMA 크로스오버 fast=28, slow=67 |
36.9% | -60.2% | 1.02 | 0.61 | 185.4x | 34 | 48% |
| ADX / DI 방향성 period=23, threshold=37 |
26.9% | -38.6% | 1.01 | 0.70 | 53.0x | 46 | 29% |
| MACD fast=31, slow=47, signal=29 |
33.0% | -68.0% | 0.94 | 0.49 | 115.4x | 75 | 51% |
| Buy and hold | 31.4% | -90.7% | 0.78 | 0.35 | 94.1x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 38-day return is greater than 9%
- Sell — Sell when the 38-day return drops to 9% or below