Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Triputra Agro Persada Tbk backtest
10 trend-following strategies were compared on the full daily history of PT Triputra Agro Persada Tbk. 0 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 42.2%, drawdown -44.3%).
Sharpe leader (same as main): Parabolic SAR — CAGR 27.2%, MDD -32.5%, Sharpe 0.88, 47% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.01, maxStep=0.18 |
27.2% | -32.5% | 0.88 | 0.84 | 3.6x | 53 | 47% |
| EMA 크로스오버 fast=78, slow=188 |
23.6% | -41.1% | 0.81 | 0.57 | 3.1x | 5 | 60% |
| 볼린저 밴드 돌파 n=18, k=3.5 |
6.5% | -11.2% | 0.73 | 0.58 | 1.4x | 4 | 5% |
| MACD fast=31, slow=55, signal=15 |
17.7% | -44.5% | 0.72 | 0.40 | 2.4x | 45 | 47% |
| ROC 모멘텀 n=138, threshold=0 |
16.0% | -52.2% | 0.66 | 0.31 | 2.2x | 55 | 52% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=13, mult=3.5 |
4.7% | -8.8% | 0.64 | 0.54 | 1.3x | 4 | 3% |
| Donchian 채널 돌파 entryN=24, exitN=9 |
11.9% | -46.6% | 0.58 | 0.26 | 1.8x | 31 | 32% |
| SMA 크로스오버 fast=58, slow=219 |
12.8% | -41.1% | 0.55 | 0.31 | 1.9x | 6 | 52% |
| Supertrend period=39, mult=1.6 |
10.6% | -44.2% | 0.51 | 0.24 | 1.7x | 67 | 45% |
| ADX / DI 방향성 period=45, threshold=11 |
6.8% | -46.0% | 0.37 | 0.15 | 1.4x | 28 | 50% |
| Buy and hold | 42.2% | -44.3% | 1.01 | 0.95 | 6.5x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots