Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Vale Indonesia Tbk backtest
10 trend-following strategies were compared on the full daily history of PT Vale Indonesia Tbk. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 11.9%, MDD -54.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR 6.1%, drawdown -89.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.2%, MDD -57.5%, Sharpe 0.57, 57% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 9.1%p higher than buy and hold, while drawdown improves by 31.8%p (CAGR 11.9%, MDD -54.8%, exposure 35%).
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=24, exitN=36 |
15.2% | -57.5% | 0.57 | 0.26 | 19.1x | 76 | 57% |
| SMA 크로스오버 fast=7, slow=43 |
13.7% | -73.5% | 0.54 | 0.19 | 14.5x | 139 | 51% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=16, mult=1.4 |
12.4% | -63.3% | 0.53 | 0.20 | 11.4x | 160 | 40% |
| 볼린저 밴드 돌파 n=42, k=1.7 |
11.9% | -54.8% | 0.53 | 0.22 | 10.4x | 108 | 35% |
| Supertrend period=18, mult=5 |
11.9% | -68.9% | 0.49 | 0.17 | 10.4x | 68 | 58% |
| ROC 모멘텀 n=21, threshold=-0.01 |
10.7% | -67.3% | 0.46 | 0.16 | 8.4x | 433 | 53% |
| EMA 크로스오버 fast=38, slow=182 |
8.6% | -60.8% | 0.41 | 0.14 | 5.6x | 36 | 51% |
| MACD fast=13, slow=29, signal=22 |
8.5% | -77.4% | 0.41 | 0.11 | 5.5x | 241 | 50% |
| ADX / DI 방향성 period=27, threshold=10 |
7.2% | -60.8% | 0.38 | 0.12 | 4.3x | 243 | 46% |
| Parabolic SAR step=0.005, maxStep=0.18 |
4.7% | -79.5% | 0.31 | 0.06 | 2.6x | 161 | 50% |
| Buy and hold | 6.1% | -89.3% | 0.37 | 0.07 | 3.5x | 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 24 days
- Sell — Sell when price breaks below the lowest low of the last 36 days