Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Indo Tambangraya Megah Tbk backtest
10 trend-following strategies were compared on the full daily history of PT Indo Tambangraya Megah Tbk. 10 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 6.9%, MDD -19.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.2%, drawdown -91.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.7%, MDD -41.7%, Sharpe 0.72, 34% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 14.5%p higher than buy and hold, while drawdown improves by 50.0%p (CAGR 6.9%, MDD -19.2%, exposure 6%).
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=130, exitN=75 |
15.7% | -41.7% | 0.72 | 0.38 | 15.0x | 11 | 34% |
| ROC 모멘텀 n=160, threshold=0.11 |
13.0% | -50.0% | 0.61 | 0.26 | 9.7x | 81 | 36% |
| SMA 크로스오버 fast=16, slow=172 |
13.3% | -57.8% | 0.60 | 0.23 | 10.2x | 37 | 45% |
| 볼린저 밴드 돌파 n=28, k=3.5 |
6.9% | -19.2% | 0.59 | 0.36 | 3.4x | 16 | 6% |
| EMA 크로스오버 fast=33, slow=193 |
12.5% | -54.2% | 0.57 | 0.23 | 9.0x | 20 | 44% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=21, mult=2.9 |
7.8% | -38.6% | 0.50 | 0.20 | 4.0x | 62 | 14% |
| Parabolic SAR step=0.015, maxStep=0.16 |
10.8% | -75.0% | 0.48 | 0.14 | 6.8x | 267 | 48% |
| Supertrend period=8, mult=3.8 |
10.1% | -71.7% | 0.46 | 0.14 | 6.0x | 107 | 49% |
| MACD fast=20, slow=50, signal=15 |
9.1% | -77.2% | 0.43 | 0.12 | 5.1x | 169 | 50% |
| ADX / DI 방향성 period=11, threshold=28 |
4.0% | -57.4% | 0.29 | 0.07 | 2.1x | 175 | 24% |
| Buy and hold | 1.2% | -91.7% | 0.25 | 0.01 | 1.2x | 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 130 days
- Sell — Sell when price breaks below the lowest low of the last 75 days