Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Sigma Advanced Systems Limited backtest
10 trend-following strategies were compared on the full daily history of Sigma Advanced Systems Limited. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 19.2%, MDD -61.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR 9.8%, drawdown -97.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 29.1%, MDD -69.1%, Sharpe 0.89, 24% exposure.
CAGR reference leader: Parabolic SAR — CAGR 32.4%, MDD -69.1%, exposure 46%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 19.3%p higher than buy and hold, while drawdown improves by 28.1%p (CAGR 19.2%, MDD -61.3%, exposure 20%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=5, k=1.6 |
29.1% | -69.1% | 0.89 | 0.42 | 132.7x | 525 | 24% |
| Parabolic SAR step=0.035, maxStep=0.36 |
32.4% | -69.1% | 0.86 | 0.47 | 213.5x | 549 | 46% |
| EMA 크로스오버 fast=29, slow=274 |
24.1% | -65.4% | 0.76 | 0.37 | 62.5x | 17 | 40% |
| Supertrend period=29, mult=1.7 |
25.0% | -81.0% | 0.76 | 0.31 | 71.2x | 253 | 39% |
| MACD fast=6, slow=37, signal=2 |
26.6% | -84.1% | 0.75 | 0.32 | 91.1x | 807 | 46% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=24, mult=1.7 |
19.2% | -61.3% | 0.71 | 0.31 | 28.9x | 123 | 20% |
| Donchian 채널 돌파 entryN=61, exitN=68 |
22.5% | -68.5% | 0.68 | 0.33 | 48.4x | 23 | 52% |
| SMA 크로스오버 fast=58, slow=180 |
19.8% | -84.5% | 0.65 | 0.23 | 31.4x | 29 | 47% |
| ROC 모멘텀 n=125, threshold=0.06 |
19.4% | -79.4% | 0.64 | 0.24 | 29.8x | 167 | 43% |
| ADX / DI 방향성 period=38, threshold=16 |
12.3% | -76.7% | 0.52 | 0.16 | 9.1x | 57 | 29% |
| Buy and hold | 9.8% | -97.3% | 0.46 | 0.10 | 6.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 5-day average (1.6× volatility)
- Sell — Sell when the close falls back to the 5-day middle average