Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Indofood Sukses Makmur Tbk backtest
10 trend-following strategies were compared on the full daily history of PT Indofood Sukses Makmur Tbk. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.3%, MDD -36.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 8.5%, drawdown -73.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.8%, MDD -49.4%, Sharpe 0.49, 53% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 24.2%p (CAGR 8.3%, MDD -36.7%, exposure 29%).
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=10, slow=87 |
9.8% | -49.4% | 0.49 | 0.20 | 11.1x | 101 | 53% |
| 볼린저 밴드 돌파 n=59, k=2.4 |
8.3% | -36.7% | 0.49 | 0.23 | 7.9x | 68 | 29% |
| ADX / DI 방향성 period=37, threshold=14 |
7.6% | -38.2% | 0.45 | 0.20 | 6.6x | 132 | 33% |
| Supertrend period=20, mult=4.3 |
7.9% | -54.6% | 0.44 | 0.14 | 7.1x | 83 | 50% |
| EMA 크로스오버 fast=26, slow=56 |
7.9% | -50.1% | 0.42 | 0.16 | 7.1x | 95 | 53% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.14 |
8.8% | -71.4% | 0.41 | 0.12 | 8.7x | 9 | 100% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=12, mult=2.4 |
6.3% | -42.3% | 0.40 | 0.15 | 4.9x | 100 | 30% |
| Donchian 채널 돌파 entryN=56, exitN=57 |
7.1% | -47.5% | 0.39 | 0.15 | 5.9x | 60 | 53% |
| Parabolic SAR step=0.005, maxStep=0.28 |
6.1% | -71.6% | 0.36 | 0.09 | 4.6x | 171 | 49% |
| MACD fast=18, slow=48, signal=13 |
3.8% | -71.5% | 0.27 | 0.05 | 2.6x | 285 | 50% |
| Buy and hold | 8.5% | -73.6% | 0.41 | 0.12 | 8.3x | 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 10-day average price crosses above the 87-day average
- Sell — Sell (to cash) when the 10-day average falls below the 87-day average