Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Perusahaan Gas Negara (Persero) Tbk Class B backtest
10 trend-following strategies were compared on the full daily history of PT Perusahaan Gas Negara (Persero) Tbk Class B. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 11.1%, MDD -39.3%).
Results by strategy
7 of 10 beat buy and hold (CAGR 7.2%, drawdown -90.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 18.0%, MDD -49.5%, Sharpe 0.70, 53% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 10.8%p higher than buy and hold, while drawdown improves by 41.0%p (CAGR 11.1%, MDD -39.3%, exposure 44%).
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=14, slow=28 |
18.0% | -49.5% | 0.70 | 0.36 | 42.2x | 199 | 53% |
| EMA 크로스오버 fast=24, slow=28 |
14.0% | -53.5% | 0.60 | 0.26 | 19.5x | 106 | 51% |
| Donchian 채널 돌파 entryN=44, exitN=31 |
11.1% | -39.3% | 0.52 | 0.28 | 10.7x | 70 | 44% |
| 볼린저 밴드 돌파 n=40, k=1.3 |
10.1% | -53.3% | 0.50 | 0.19 | 8.9x | 158 | 38% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=18, mult=3 |
6.5% | -32.3% | 0.49 | 0.20 | 4.2x | 50 | 11% |
| ADX / DI 방향성 period=34, threshold=33 |
4.3% | -21.5% | 0.47 | 0.20 | 2.6x | 6 | 4% |
| MACD fast=23, slow=48, signal=21 |
9.7% | -67.2% | 0.46 | 0.14 | 8.1x | 195 | 52% |
| ROC 모멘텀 n=84, threshold=-0.03 |
9.1% | -67.2% | 0.44 | 0.14 | 7.2x | 208 | 60% |
| Supertrend period=8, mult=4.8 |
8.3% | -70.0% | 0.42 | 0.12 | 6.0x | 74 | 54% |
| Parabolic SAR step=0.025, maxStep=0.24 |
-3.2% | -89.5% | 0.05 | -0.04 | 0.5x | 468 | 53% |
| Buy and hold | 7.2% | -90.5% | 0.38 | 0.08 | 4.8x | 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 14-day average price crosses above the 28-day average
- Sell — Sell (to cash) when the 14-day average falls below the 28-day average