Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Mayora Indah Tbk backtest
10 trend-following strategies were compared on the full daily history of PT Mayora Indah Tbk. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 20.8%, MDD -36.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 18.7%, drawdown -64.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 20.8%, MDD -36.8%, Sharpe 0.77, 61% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 21.2%, MDD -50.9%, exposure 70%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 27.2%p (CAGR 20.8%, MDD -36.8%, exposure 61%).
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=6, slow=268 |
20.8% | -36.8% | 0.77 | 0.56 | 127.7x | 42 | 61% |
| Donchian 채널 돌파 entryN=36, exitN=59 |
21.2% | -50.9% | 0.75 | 0.42 | 139.0x | 51 | 70% |
| EMA 크로스오버 fast=26, slow=206 |
19.7% | -41.8% | 0.75 | 0.47 | 102.0x | 32 | 61% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=23, mult=3.4 |
14.6% | -56.5% | 0.71 | 0.26 | 32.9x | 68 | 26% |
| ADX / DI 방향성 period=30, threshold=20 |
12.5% | -35.6% | 0.64 | 0.35 | 20.7x | 100 | 27% |
| Supertrend period=16, mult=4.9 |
16.2% | -55.2% | 0.64 | 0.29 | 47.7x | 71 | 59% |
| 볼린저 밴드 돌파 n=33, k=2.9 |
11.9% | -38.6% | 0.61 | 0.31 | 17.9x | 84 | 25% |
| MACD fast=21, slow=63, signal=30 |
13.6% | -66.6% | 0.60 | 0.20 | 26.4x | 203 | 49% |
| Parabolic SAR step=0.01, maxStep=0.34 |
12.4% | -67.5% | 0.55 | 0.18 | 20.2x | 271 | 51% |
| ROC 모멘텀 n=129, threshold=0.12 |
11.6% | -46.4% | 0.55 | 0.25 | 16.9x | 188 | 42% |
| Buy and hold | 18.7% | -64.0% | 0.63 | 0.29 | 81.5x | 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 6-day average price crosses above the 268-day average
- Sell — Sell (to cash) when the 6-day average falls below the 268-day average