Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Elang Mahkota Teknologi Tbk backtest
10 trend-following strategies were compared on the full daily history of PT Elang Mahkota Teknologi Tbk. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 23.7%, MDD -50.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR 12.7%, drawdown -88.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 23.7%, MDD -50.3%, Sharpe 0.71, 44% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 11.0%p higher than buy and hold, while drawdown improves by 38.1%p (CAGR 23.7%, MDD -50.3%, exposure 44%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=12, slow=151 |
23.7% | -50.3% | 0.71 | 0.47 | 33.6x | 36 | 44% |
| EMA 크로스오버 fast=35, slow=146 |
21.2% | -59.4% | 0.66 | 0.36 | 23.9x | 20 | 46% |
| Donchian 채널 돌파 entryN=98, exitN=65 |
19.7% | -56.1% | 0.64 | 0.35 | 19.5x | 18 | 45% |
| ROC 모멘텀 n=129, threshold=0.02 |
17.0% | -64.4% | 0.58 | 0.26 | 13.5x | 112 | 45% |
| ADX / DI 방향성 period=39, threshold=17 |
13.5% | -52.2% | 0.53 | 0.26 | 8.1x | 60 | 26% |
| Parabolic SAR step=0.005, maxStep=0.26 |
7.0% | -81.1% | 0.37 | 0.09 | 3.1x | 101 | 48% |
| 볼린저 밴드 돌파 n=54, k=3.3 |
6.5% | -79.9% | 0.36 | 0.08 | 2.8x | 34 | 17% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=16, mult=3.9 |
4.5% | -85.2% | 0.30 | 0.05 | 2.1x | 50 | 22% |
| Supertrend period=10, mult=4.6 |
1.9% | -90.3% | 0.26 | 0.02 | 1.4x | 96 | 52% |
| MACD fast=16, slow=27, signal=18 |
-6.2% | -92.4% | 0.04 | -0.07 | 0.3x | 217 | 51% |
| Buy and hold | 12.7% | -88.3% | 0.50 | 0.14 | 7.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 12-day average price crosses above the 151-day average
- Sell — Sell (to cash) when the 12-day average falls below the 151-day average