Trend-Following Backtester · Guide · backtest 한국어

equity · AU

Sigma Healthcare Ltd backtest

10 trend-following strategies were compared on the full daily history of Sigma Healthcare Ltd. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.2%, MDD -17.6%).

Data 2000-01-03 ~ 2026-07-31daily bars 6,761 (26.6 years)Costs 0.5%Venue ASXMonthly snapshot 2026-07-31

Results by strategy

7 of 10 beat buy and hold (CAGR 2.2%, drawdown -97.3%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.9%, MDD -27.0%, Sharpe 0.49, 9% exposure.

CAGR reference leader: SMA 크로스오버 — CAGR 7.5%, MDD -57.0%, exposure 52%.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 70.3%p (CAGR 4.2%, MDD -17.6%, exposure 6%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
볼린저 밴드 돌파
n=32, k=3.5
5.9%-27.0%0.490.224.6x269%
ADX / DI 방향성
period=27, threshold=33
4.2%-17.6%0.470.243.0x186%
Keltner 채널 돌파
emaPeriod=23, atrPeriod=29, mult=3.6
5.2%-47.3%0.410.113.9x5213%
SMA 크로스오버
fast=78, slow=142
7.5%-57.0%0.400.136.9x5852%
ROC 모멘텀
n=242, threshold=0.13
6.2%-73.0%0.360.084.9x14240%
EMA 크로스오버
fast=49, slow=325
5.0%-90.7%0.340.063.7x2153%
Donchian 채널 돌파
entryN=51, exitN=46
4.3%-82.7%0.290.053.1x6950%
MACD
fast=11, slow=25, signal=17
-3.8%-94.6%0.06-0.040.4x39751%
Supertrend
period=29, mult=2.2
-3.2%-89.5%0.05-0.040.4x29351%
Parabolic SAR
step=0.01, maxStep=0.36
-3.5%-86.6%0.03-0.040.4x28950%
Buy and hold2.2%-97.3%0.300.021.8x1100%
1x 2001 2005 2009 2013 2017 2021 2025 SMA 크로스오버볼린저 밴드 돌파Buy and hold
볼린저 밴드 돌파 (Sharpe leader), SMA 크로스오버 (CAGR reference), Buy and hold.
0% -24% -49% -73% -97% 2001 2005 2009 2013 2017 2021 2025 Buy and holdSMA 크로스오버볼린저 밴드 돌파
볼린저 밴드 돌파 maximum drawdown -27.0% (2001-05-22 → 2003-05-01), recovered after 765 days.

Rules of the top strategy

Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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