Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT NexAI Digital Infrastruktur Tbk. backtest
10 trend-following strategies were compared on the full daily history of PT NexAI Digital Infrastruktur Tbk.. 9 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 165.1%, MDD -41.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR 132.4%, drawdown -85.6%).
Sharpe leader (same as main): Supertrend — CAGR 206.8%, MDD -65.8%, Sharpe 2.30, 45% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 74.4%p higher than buy and hold, while drawdown improves by 19.8%p (CAGR 165.1%, MDD -41.7%, exposure 30%).
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=22, mult=1.1 |
206.8% | -65.8% | 2.30 | 3.14 | 351.3x | 93 | 45% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=20, mult=0.8 |
165.1% | -41.7% | 2.17 | 3.96 | 163.9x | 65 | 30% |
| Parabolic SAR step=0.06, maxStep=0.22 |
177.7% | -50.3% | 2.08 | 3.53 | 208.6x | 177 | 48% |
| ADX / DI 방향성 period=34, threshold=24 |
154.5% | -51.9% | 2.06 | 2.98 | 132.3x | 10 | 33% |
| Donchian 채널 돌파 entryN=105, exitN=17 |
143.7% | -48.3% | 2.01 | 2.97 | 105.4x | 5 | 36% |
| EMA 크로스오버 fast=48, slow=270 |
150.4% | -75.1% | 1.97 | 2.00 | 121.5x | 3 | 36% |
| SMA 크로스오버 fast=34, slow=143 |
169.8% | -75.1% | 1.94 | 2.26 | 179.5x | 5 | 53% |
| ROC 모멘텀 n=116, threshold=-0.03 |
165.3% | -75.1% | 1.89 | 2.20 | 164.5x | 21 | 55% |
| 볼린저 밴드 돌파 n=29, k=2 |
136.8% | -65.0% | 1.83 | 2.10 | 90.8x | 35 | 34% |
| MACD fast=23, slow=34, signal=17 |
113.9% | -75.5% | 1.57 | 1.51 | 53.2x | 55 | 57% |
| Buy and hold | 132.4% | -85.6% | 1.48 | 1.55 | 82.2x | 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) — 22-day volatility, 1.1× band
- Sell — Sell when price drops below the trend line (flips down)