Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Petrosea Tbk backtest
10 trend-following strategies were compared on the full daily history of PT Petrosea Tbk. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 34.8%, MDD -44.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR 23.2%, drawdown -94.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 34.8%, MDD -44.5%, Sharpe 0.92, 58% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 11.6%p higher than buy and hold, while drawdown improves by 49.5%p (CAGR 34.8%, MDD -44.5%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=31, exitN=43 |
34.8% | -44.5% | 0.92 | 0.78 | 1386.5x | 75 | 58% |
| 볼린저 밴드 돌파 n=43, k=1.5 |
30.4% | -50.4% | 0.90 | 0.60 | 621.6x | 123 | 36% |
| Parabolic SAR step=0.025, maxStep=0.24 |
28.8% | -64.5% | 0.84 | 0.45 | 458.7x | 397 | 47% |
| SMA 크로스오버 fast=7, slow=61 |
30.1% | -53.7% | 0.84 | 0.56 | 586.0x | 129 | 52% |
| EMA 크로스오버 fast=10, slow=59 |
28.2% | -61.2% | 0.80 | 0.46 | 415.6x | 113 | 55% |
| ROC 모멘텀 n=46, threshold=0.03 |
27.4% | -60.7% | 0.80 | 0.45 | 356.9x | 279 | 45% |
| ADX / DI 방향성 period=22, threshold=12 |
26.5% | -52.9% | 0.78 | 0.50 | 299.1x | 257 | 52% |
| Supertrend period=9, mult=3.3 |
25.9% | -68.4% | 0.76 | 0.38 | 266.6x | 171 | 53% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=29, mult=1.2 |
24.8% | -55.6% | 0.75 | 0.45 | 213.5x | 159 | 47% |
| MACD fast=19, slow=42, signal=9 |
18.6% | -80.8% | 0.62 | 0.23 | 63.1x | 315 | 50% |
| Buy and hold | 23.2% | -94.0% | 0.66 | 0.25 | 156.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 31 days
- Sell — Sell when price breaks below the lowest low of the last 43 days