Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Gudang Garam Tbk backtest
10 trend-following strategies were compared on the full daily history of PT Gudang Garam Tbk. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 10.3%, MDD -41.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR 2.1%, drawdown -91.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.5%, MDD -47.6%, Sharpe 0.55, 41% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 8.4%p higher than buy and hold, while drawdown improves by 43.6%p (CAGR 10.3%, MDD -41.2%, exposure 45%).
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=52, slow=171 |
10.5% | -47.6% | 0.55 | 0.22 | 12.4x | 31 | 41% |
| ADX / DI 방향성 period=34, threshold=18 |
8.8% | -59.0% | 0.55 | 0.15 | 8.4x | 75 | 20% |
| EMA 크로스오버 fast=45, slow=183 |
10.3% | -41.2% | 0.53 | 0.25 | 11.9x | 29 | 45% |
| Donchian 채널 돌파 entryN=55, exitN=28 |
9.8% | -56.8% | 0.51 | 0.17 | 10.7x | 61 | 40% |
| ROC 모멘텀 n=107, threshold=0.1 |
5.9% | -69.9% | 0.38 | 0.09 | 4.3x | 147 | 31% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=9, mult=3.9 |
5.1% | -56.4% | 0.37 | 0.09 | 3.5x | 53 | 19% |
| 볼린저 밴드 돌파 n=39, k=2.8 |
4.0% | -59.6% | 0.31 | 0.07 | 2.7x | 75 | 19% |
| Supertrend period=17, mult=5 |
4.3% | -68.6% | 0.29 | 0.06 | 2.9x | 87 | 50% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-4.9% | -89.1% | -0.07 | -0.06 | 0.3x | 196 | 48% |
| MACD fast=14, slow=30, signal=15 |
-9.7% | -96.1% | -0.24 | -0.10 | 0.1x | 376 | 51% |
| Buy and hold | 2.1% | -91.2% | 0.24 | 0.02 | 1.7x | 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 52-day average price crosses above the 171-day average
- Sell — Sell (to cash) when the 52-day average falls below the 171-day average