Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Indah Kiat Pulp & Paper Tbk backtest
10 trend-following strategies were compared on the full daily history of PT Indah Kiat Pulp & Paper Tbk. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 24.1%, MDD -50.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR 8.8%, drawdown -87.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 29.0%, MDD -58.8%, Sharpe 0.86, 49% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 20.2%p higher than buy and hold, while drawdown improves by 28.9%p (CAGR 24.1%, MDD -50.0%, exposure 38%).
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=9, slow=58 |
29.0% | -58.8% | 0.86 | 0.49 | 714.7x | 133 | 49% |
| EMA 크로스오버 fast=22, slow=25 |
26.9% | -67.6% | 0.81 | 0.40 | 470.1x | 132 | 50% |
| 볼린저 밴드 돌파 n=43, k=1.1 |
24.1% | -50.0% | 0.79 | 0.48 | 263.2x | 158 | 38% |
| MACD fast=18, slow=78, signal=13 |
24.4% | -74.4% | 0.75 | 0.33 | 276.7x | 230 | 51% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=21, mult=2.6 |
20.9% | -62.9% | 0.74 | 0.33 | 132.9x | 78 | 33% |
| Donchian 채널 돌파 entryN=67, exitN=14 |
19.8% | -56.0% | 0.74 | 0.35 | 105.1x | 70 | 27% |
| ROC 모멘텀 n=56, threshold=0.09 |
20.6% | -63.9% | 0.71 | 0.32 | 126.4x | 255 | 37% |
| Supertrend period=6, mult=4.3 |
21.3% | -70.0% | 0.68 | 0.30 | 145.8x | 88 | 55% |
| ADX / DI 방향성 period=16, threshold=22 |
17.0% | -57.9% | 0.63 | 0.29 | 56.8x | 226 | 32% |
| Parabolic SAR step=0.02, maxStep=0.26 |
12.1% | -79.0% | 0.49 | 0.15 | 18.9x | 422 | 49% |
| Buy and hold | 8.8% | -87.6% | 0.43 | 0.10 | 8.8x | 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 9-day average price crosses above the 58-day average
- Sell — Sell (to cash) when the 9-day average falls below the 58-day average