Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT Sarana Menara Nusantara Tbk backtest
10 trend-following strategies were compared on the full daily history of PT Sarana Menara Nusantara Tbk. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 21.4%, MDD -43.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 16.6%, drawdown -87.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 15.4%, MDD -36.9%, Sharpe 0.82, 12% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 21.4%, MDD -43.4%, exposure 50%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.2%p lower than buy and hold, while drawdown improves by 50.8%p (CAGR 21.4%, MDD -43.4%, exposure 50%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=29, threshold=30 |
15.4% | -36.9% | 0.82 | 0.42 | 10.7x | 16 | 12% |
| SMA 크로스오버 fast=13, slow=39 |
21.4% | -43.4% | 0.81 | 0.49 | 24.8x | 94 | 50% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=15, mult=3.7 |
13.4% | -34.4% | 0.71 | 0.39 | 8.0x | 34 | 17% |
| 볼린저 밴드 돌파 n=40, k=2 |
15.5% | -49.2% | 0.69 | 0.31 | 10.9x | 60 | 30% |
| EMA 크로스오버 fast=20, slow=34 |
15.6% | -46.3% | 0.64 | 0.34 | 11.1x | 78 | 50% |
| Donchian 채널 돌파 entryN=18, exitN=50 |
15.4% | -55.9% | 0.61 | 0.27 | 10.7x | 53 | 70% |
| MACD fast=15, slow=33, signal=31 |
12.0% | -62.4% | 0.56 | 0.19 | 6.6x | 164 | 48% |
| Parabolic SAR step=0.015, maxStep=0.34 |
9.5% | -71.4% | 0.45 | 0.13 | 4.5x | 220 | 53% |
| ROC 모멘텀 n=58, threshold=0.02 |
8.4% | -68.6% | 0.42 | 0.12 | 3.8x | 197 | 42% |
| Supertrend period=28, mult=2.7 |
5.1% | -89.2% | 0.40 | 0.06 | 2.3x | 124 | 52% |
| Buy and hold | 16.6% | -87.7% | 0.43 | 0.19 | 12.7x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 29-day) is ≥ 30
- Sell — Sell when direction flips or the trend weakens (ADX < 30)