Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Singaraja Putra Tbk backtest
10 trend-following strategies were compared on the full daily history of PT Singaraja Putra Tbk. 5 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 83.7%, MDD -44.0%).
Results by strategy
5 of 10 beat buy and hold (CAGR 81.5%, drawdown -89.0%).
Sharpe leader (same as main): Supertrend — CAGR 174.6%, MDD -63.9%, Sharpe 1.99, 41% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 93.1%p higher than buy and hold, while drawdown improves by 25.1%p (CAGR 83.7%, MDD -44.0%, exposure 24%).
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=15, mult=1.1 |
174.6% | -63.9% | 1.99 | 2.73 | 972.9x | 137 | 41% |
| Parabolic SAR step=0.02, maxStep=0.28 |
128.3% | -81.1% | 1.57 | 1.58 | 276.9x | 115 | 46% |
| 볼린저 밴드 돌파 n=15, k=2.2 |
89.4% | -60.7% | 1.54 | 1.47 | 77.4x | 47 | 21% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=16, mult=1.8 |
83.7% | -44.0% | 1.45 | 1.90 | 62.9x | 43 | 24% |
| ADX / DI 방향성 period=8, threshold=32 |
82.5% | -52.4% | 1.37 | 1.57 | 60.3x | 78 | 28% |
| Donchian 채널 돌파 entryN=78, exitN=9 |
49.4% | -36.5% | 1.22 | 1.35 | 15.4x | 20 | 13% |
| ROC 모멘텀 n=63, threshold=0.13 |
68.5% | -49.5% | 1.20 | 1.38 | 35.0x | 38 | 29% |
| SMA 크로스오버 fast=39, slow=99 |
67.9% | -65.8% | 1.15 | 1.03 | 34.1x | 12 | 40% |
| EMA 크로스오버 fast=3, slow=76 |
52.8% | -75.5% | 1.02 | 0.70 | 18.0x | 51 | 40% |
| MACD fast=28, slow=86, signal=13 |
43.5% | -85.1% | 0.90 | 0.51 | 11.7x | 51 | 53% |
| Buy and hold | 81.5% | -89.0% | 1.11 | 0.92 | 58.0x | 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) — 15-day volatility, 1.1× band
- Sell — Sell when price drops below the trend line (flips down)