Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Medco Energi Internasional Tbk backtest
10 trend-following strategies were compared on the full daily history of PT Medco Energi Internasional Tbk. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 9.2%, MDD -49.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 8.3%, drawdown -89.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.3%, MDD -59.5%, Sharpe 0.48, 51% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.0%p higher than buy and hold, while drawdown improves by 29.5%p (CAGR 9.2%, MDD -49.8%, exposure 32%).
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=8, slow=85 |
11.3% | -59.5% | 0.48 | 0.19 | 16.5x | 118 | 51% |
| EMA 크로스오버 fast=37, slow=39 |
10.3% | -55.5% | 0.45 | 0.19 | 12.9x | 94 | 52% |
| 볼린저 밴드 돌파 n=48, k=1.7 |
9.2% | -49.8% | 0.44 | 0.19 | 10.0x | 124 | 32% |
| Donchian 채널 돌파 entryN=41, exitN=6 |
7.5% | -40.5% | 0.42 | 0.18 | 6.6x | 156 | 19% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=14, mult=2.1 |
7.3% | -57.3% | 0.38 | 0.13 | 6.3x | 128 | 33% |
| ADX / DI 방향성 period=40, threshold=24 |
4.8% | -40.0% | 0.34 | 0.12 | 3.4x | 24 | 12% |
| Supertrend period=18, mult=4.3 |
5.4% | -59.1% | 0.32 | 0.09 | 4.0x | 111 | 49% |
| ROC 모멘텀 n=63, threshold=-0.11 |
4.7% | -76.0% | 0.32 | 0.06 | 3.4x | 280 | 74% |
| MACD fast=15, slow=33, signal=18 |
3.7% | -86.7% | 0.28 | 0.04 | 2.6x | 323 | 51% |
| Parabolic SAR step=0.03, maxStep=0.3 |
0.4% | -92.9% | 0.18 | 0.00 | 1.1x | 596 | 48% |
| Buy and hold | 8.3% | -89.0% | 0.41 | 0.09 | 8.1x | 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 8-day average price crosses above the 85-day average
- Sell — Sell (to cash) when the 8-day average falls below the 85-day average