Trend-Following Backtester · Guide · backtest 한국어
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PT Merdeka Copper Gold Tbk backtest
10 trend-following strategies were compared on the full daily history of PT Merdeka Copper Gold Tbk. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 24.8%, MDD -44.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 18.8%, drawdown -81.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 24.8%, MDD -44.8%, Sharpe 0.76, 69% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 6.0%p higher than buy and hold, while drawdown improves by 37.0%p (CAGR 24.8%, MDD -44.8%, exposure 69%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=56, slow=233 |
24.8% | -44.8% | 0.76 | 0.55 | 11.9x | 3 | 69% |
| SMA 크로스오버 fast=50, slow=166 |
24.5% | -47.6% | 0.75 | 0.51 | 11.6x | 10 | 66% |
| ROC 모멘텀 n=98, threshold=-0.1 |
16.0% | -52.0% | 0.57 | 0.31 | 5.3x | 65 | 80% |
| Donchian 채널 돌파 entryN=104, exitN=77 |
12.1% | -54.6% | 0.49 | 0.22 | 3.6x | 12 | 67% |
| Parabolic SAR step=0.005, maxStep=0.14 |
8.2% | -70.9% | 0.40 | 0.12 | 2.4x | 73 | 55% |
| MACD fast=18, slow=51, signal=22 |
7.3% | -54.7% | 0.38 | 0.13 | 2.2x | 111 | 51% |
| ADX / DI 방향성 period=26, threshold=36 |
1.8% | -9.1% | 0.35 | 0.19 | 1.2x | 6 | 3% |
| 볼린저 밴드 돌파 n=34, k=2.5 |
2.8% | -46.5% | 0.24 | 0.06 | 1.4x | 51 | 26% |
| Keltner 채널 돌파 emaPeriod=71, atrPeriod=23, mult=1.2 |
-0.3% | -69.7% | 0.16 | -0.00 | 1.0x | 89 | 49% |
| Supertrend period=18, mult=4.7 |
-4.7% | -70.0% | 0.05 | -0.07 | 0.6x | 44 | 54% |
| Buy and hold | 18.8% | -81.8% | 0.60 | 0.23 | 6.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 56-day EMA crosses above the 233-day EMA
- Sell — Sell when the 56-day EMA falls below the 233-day EMA