Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Hanjaya Mandala Sampoerna Tbk backtest
10 trend-following strategies were compared on the full daily history of PT Hanjaya Mandala Sampoerna Tbk. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 8.6%, MDD -33.9%).
Results by strategy
4 of 10 beat buy and hold (CAGR 7.4%, drawdown -94.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.6%, MDD -33.9%, Sharpe 0.57, 24% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 9.5%, MDD -71.0%, exposure 50%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 61.0%p (CAGR 8.6%, MDD -33.9%, exposure 24%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=166, exitN=31 |
8.6% | -33.9% | 0.57 | 0.25 | 7.7x | 36 | 24% |
| SMA 크로스오버 fast=52, slow=155 |
9.5% | -71.0% | 0.53 | 0.13 | 9.5x | 40 | 50% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=11, mult=2.8 |
8.1% | -52.8% | 0.50 | 0.15 | 7.0x | 82 | 31% |
| 볼린저 밴드 돌파 n=46, k=2.4 |
7.7% | -61.9% | 0.47 | 0.12 | 6.3x | 86 | 30% |
| ROC 모멘텀 n=102, threshold=0.09 |
7.0% | -59.4% | 0.44 | 0.12 | 5.4x | 162 | 33% |
| ADX / DI 방향성 period=28, threshold=21 |
5.3% | -50.8% | 0.40 | 0.10 | 3.6x | 80 | 20% |
| Supertrend period=14, mult=3.7 |
4.6% | -70.3% | 0.31 | 0.07 | 3.1x | 139 | 50% |
| EMA 크로스오버 fast=42, slow=76 |
-2.3% | -95.8% | 0.26 | -0.02 | 0.6x | 48 | 52% |
| Parabolic SAR step=0.01, maxStep=0.22 |
-7.6% | -96.3% | 0.07 | -0.08 | 0.1x | 263 | 48% |
| MACD fast=22, slow=41, signal=16 |
-9.9% | -98.1% | -0.01 | -0.10 | 0.1x | 265 | 48% |
| Buy and hold | 7.4% | -94.8% | 0.23 | 0.08 | 5.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 166 days
- Sell — Sell when price breaks below the lowest low of the last 31 days