Trend-Following Backtester · Guide · backtest 한국어
equity · US
Sigma Lithium Corporation backtest
10 trend-following strategies were compared on the full daily history of Sigma Lithium Corporation. 5 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 51.4%, MDD -45.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR 26.4%, drawdown -89.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 51.4%, MDD -45.5%, Sharpe 1.02, 51% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 25.0%p higher than buy and hold, while drawdown improves by 44.4%p (CAGR 51.4%, MDD -45.5%, exposure 51%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=119, threshold=0.08 |
51.4% | -45.5% | 1.02 | 1.13 | 28.5x | 28 | 51% |
| Donchian 채널 돌파 entryN=80, exitN=105 |
49.9% | -60.4% | 1.00 | 0.83 | 26.2x | 5 | 53% |
| SMA 크로스오버 fast=42, slow=153 |
48.6% | -51.2% | 0.98 | 0.95 | 24.5x | 8 | 54% |
| EMA 크로스오버 fast=31, slow=154 |
45.1% | -51.2% | 0.96 | 0.88 | 20.2x | 6 | 50% |
| ADX / DI 방향성 period=34, threshold=19 |
23.5% | -40.1% | 0.74 | 0.59 | 5.5x | 26 | 27% |
| 볼린저 밴드 돌파 n=24, k=3.4 |
17.5% | -26.4% | 0.72 | 0.66 | 3.7x | 12 | 12% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=10, mult=2.7 |
22.3% | -42.4% | 0.71 | 0.53 | 5.1x | 26 | 28% |
| Supertrend period=9, mult=3.7 |
26.5% | -65.4% | 0.70 | 0.41 | 6.7x | 46 | 58% |
| MACD fast=13, slow=40, signal=13 |
7.6% | -73.6% | 0.39 | 0.10 | 1.8x | 116 | 50% |
| Parabolic SAR step=0.035, maxStep=0.38 |
-0.8% | -73.7% | 0.24 | -0.01 | 0.9x | 199 | 49% |
| Buy and hold | 26.4% | -89.9% | 0.68 | 0.29 | 6.6x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 119-day return is greater than 8%
- Sell — Sell when the 119-day return drops to 8% or below