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 46.1%, drawdown -44.3%).
Sharpe leader (same as main): Parabolic SAR — CAGR 29.3%, MDD -32.5%, Sharpe 0.93, 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 |
29.3% | -32.5% | 0.93 | 0.90 | 4.0x | 55 | 47% |
| EMA 크로스오버 fast=78, slow=188 |
27.4% | -41.1% | 0.90 | 0.67 | 3.7x | 5 | 61% |
| MACD fast=31, slow=55, signal=15 |
21.3% | -44.5% | 0.83 | 0.48 | 2.8x | 45 | 48% |
| ROC 모멘텀 n=138, threshold=0 |
19.6% | -52.2% | 0.76 | 0.38 | 2.6x | 55 | 53% |
| 볼린저 밴드 돌파 n=18, k=3.5 |
6.4% | -11.2% | 0.73 | 0.57 | 1.4x | 4 | 5% |
| Donchian 채널 돌파 entryN=24, exitN=9 |
15.5% | -46.6% | 0.70 | 0.33 | 2.2x | 31 | 33% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=13, mult=3.5 |
4.7% | -8.8% | 0.63 | 0.53 | 1.3x | 4 | 3% |
| Supertrend period=39, mult=1.6 |
14.1% | -44.2% | 0.62 | 0.32 | 2.0x | 67 | 46% |
| SMA 크로스오버 fast=58, slow=219 |
12.6% | -41.1% | 0.55 | 0.31 | 1.9x | 6 | 51% |
| ADX / DI 방향성 period=45, threshold=11 |
6.9% | -46.0% | 0.38 | 0.15 | 1.4x | 29 | 50% |
| Buy and hold | 46.1% | -44.3% | 1.08 | 1.04 | 7.7x | 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