Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Siloam International Hospitals Tbk Reg-S backtest
10 trend-following strategies were compared on the full daily history of PT Siloam International Hospitals Tbk Reg-S. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 19.0%, MDD -33.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 4.3%, drawdown -86.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 19.0%, MDD -33.8%, Sharpe 0.71, 55% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 14.7%p higher than buy and hold, while drawdown improves by 52.3%p (CAGR 19.0%, MDD -33.8%, exposure 55%).
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=32, slow=148 |
19.0% | -33.8% | 0.71 | 0.56 | 9.7x | 20 | 55% |
| ROC 모멘텀 n=101, threshold=-0.04 |
16.0% | -38.5% | 0.62 | 0.41 | 6.9x | 88 | 61% |
| Donchian 채널 돌파 entryN=42, exitN=74 |
14.9% | -41.4% | 0.59 | 0.36 | 6.1x | 18 | 66% |
| Supertrend period=6, mult=5 |
15.1% | -45.4% | 0.58 | 0.33 | 6.3x | 31 | 70% |
| EMA 크로스오버 fast=33, slow=63 |
13.4% | -40.1% | 0.56 | 0.33 | 5.1x | 28 | 55% |
| 볼린저 밴드 돌파 n=56, k=1.3 |
10.1% | -38.6% | 0.49 | 0.26 | 3.5x | 62 | 40% |
| ADX / DI 방향성 period=32, threshold=17 |
9.6% | -42.1% | 0.48 | 0.23 | 3.3x | 50 | 33% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=17, mult=1.9 |
8.3% | -52.2% | 0.42 | 0.16 | 2.8x | 50 | 41% |
| Parabolic SAR step=0.015, maxStep=0.12 |
3.6% | -64.9% | 0.27 | 0.05 | 1.6x | 179 | 47% |
| MACD fast=14, slow=57, signal=10 |
-3.9% | -69.7% | 0.01 | -0.06 | 0.6x | 178 | 47% |
| Buy and hold | 4.3% | -86.1% | 0.31 | 0.05 | 1.7x | 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 32-day average price crosses above the 148-day average
- Sell — Sell (to cash) when the 32-day average falls below the 148-day average