Trend-Following Backtester · Guide · backtest 한국어
equity · ID
PT United Tractors Tbk backtest
10 trend-following strategies were compared on the full daily history of PT United Tractors Tbk. 5 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 18.3%, MDD -41.2%).
Results by strategy
5 of 10 beat buy and hold (CAGR 16.6%, drawdown -82.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 18.3%, MDD -41.2%, Sharpe 0.73, 49% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 19.9%, MDD -58.7%, exposure 59%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 41.4%p (CAGR 18.3%, MDD -41.2%, exposure 49%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=103, atrPeriod=24, mult=2.1 |
18.3% | -41.2% | 0.73 | 0.44 | 78.0x | 82 | 49% |
| EMA 크로스오버 fast=44, slow=54 |
19.9% | -58.7% | 0.73 | 0.34 | 108.8x | 56 | 59% |
| SMA 크로스오버 fast=10, slow=135 |
19.8% | -53.1% | 0.73 | 0.37 | 106.8x | 64 | 58% |
| Donchian 채널 돌파 entryN=21, exitN=72 |
19.6% | -66.3% | 0.68 | 0.30 | 103.7x | 53 | 79% |
| Supertrend period=15, mult=5 |
17.4% | -57.1% | 0.67 | 0.31 | 64.4x | 77 | 59% |
| ROC 모멘텀 n=88, threshold=0.04 |
14.3% | -66.4% | 0.59 | 0.22 | 31.8x | 234 | 54% |
| 볼린저 밴드 돌파 n=40, k=0.8 |
10.4% | -80.7% | 0.48 | 0.13 | 12.9x | 239 | 48% |
| MACD fast=29, slow=42, signal=30 |
10.0% | -77.7% | 0.46 | 0.13 | 11.7x | 177 | 56% |
| ADX / DI 방향성 period=24, threshold=35 |
4.0% | -27.5% | 0.43 | 0.15 | 2.8x | 14 | 4% |
| Parabolic SAR step=0.015, maxStep=0.32 |
3.8% | -83.6% | 0.28 | 0.05 | 2.6x | 394 | 53% |
| Buy and hold | 16.6% | -82.6% | 0.57 | 0.20 | 52.9x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 103-day average + 2.1× volatility (Keltner top)
- Sell — Sell when the close falls back to the 103-day average