Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Indosat Tbk Class B backtest
10 trend-following strategies were compared on the full daily history of PT Indosat Tbk Class B. 5 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.5%, MDD -31.8%).
Results by strategy
5 of 10 beat buy and hold (CAGR 4.8%, drawdown -87.9%).
Sharpe leader (same as main): Supertrend — CAGR 9.2%, MDD -76.8%, Sharpe 0.43, 53% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.5%p higher than buy and hold, while drawdown improves by 11.1%p (CAGR 4.5%, MDD -31.8%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=5, mult=2.7 |
9.2% | -76.8% | 0.43 | 0.12 | 7.3x | 161 | 53% |
| 볼린저 밴드 돌파 n=16, k=2.7 |
7.0% | -53.0% | 0.42 | 0.13 | 4.5x | 97 | 14% |
| Parabolic SAR step=0.005, maxStep=0.36 |
7.7% | -69.8% | 0.39 | 0.11 | 5.3x | 159 | 51% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=16, mult=3.7 |
4.5% | -31.8% | 0.36 | 0.14 | 2.7x | 22 | 4% |
| Donchian 채널 돌파 entryN=11, exitN=75 |
5.9% | -70.8% | 0.34 | 0.08 | 3.6x | 77 | 81% |
| MACD fast=16, slow=53, signal=20 |
5.4% | -77.8% | 0.32 | 0.07 | 3.2x | 229 | 46% |
| ADX / DI 방향성 period=22, threshold=26 |
4.1% | -36.5% | 0.30 | 0.11 | 2.4x | 63 | 13% |
| SMA 크로스오버 fast=8, slow=44 |
3.0% | -66.7% | 0.25 | 0.04 | 1.9x | 157 | 50% |
| ROC 모멘텀 n=150, threshold=0.12 |
-1.0% | -63.5% | 0.08 | -0.02 | 0.8x | 189 | 30% |
| EMA 크로스오버 fast=49, slow=116 |
-1.9% | -78.6% | 0.08 | -0.02 | 0.6x | 55 | 50% |
| Buy and hold | 4.8% | -87.9% | 0.33 | 0.05 | 2.8x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 5-day volatility, 2.7× band
- Sell — Sell when price drops below the trend line (flips down)