Trend-Following Backtester · Guide · backtest 한국어
equity · US
Lithium Argentina AG backtest
10 trend-following strategies were compared on the full daily history of Lithium Argentina AG. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 22.8%, MDD -71.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR 10.6%, drawdown -94.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 22.8%, MDD -71.2%, Sharpe 0.63, 47% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 25.5%, MDD -81.5%, exposure 59%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 12.2%p higher than buy and hold, while drawdown improves by 23.5%p (CAGR 22.8%, MDD -71.2%, exposure 47%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=39, slow=120 |
22.8% | -71.2% | 0.63 | 0.32 | 39.2x | 40 | 47% |
| Donchian 채널 돌파 entryN=44, exitN=64 |
25.5% | -81.5% | 0.62 | 0.31 | 57.5x | 36 | 59% |
| 볼린저 밴드 돌파 n=56, k=1.8 |
19.7% | -84.1% | 0.60 | 0.23 | 24.8x | 62 | 33% |
| EMA 크로스오버 fast=51, slow=201 |
19.2% | -78.3% | 0.59 | 0.25 | 23.2x | 19 | 47% |
| Parabolic SAR step=0.025, maxStep=0.3 |
19.5% | -86.0% | 0.58 | 0.23 | 24.1x | 372 | 47% |
| ADX / DI 방향성 period=31, threshold=11 |
18.2% | -87.6% | 0.58 | 0.21 | 19.7x | 154 | 46% |
| MACD fast=34, slow=45, signal=23 |
17.9% | -97.9% | 0.57 | 0.18 | 18.9x | 134 | 50% |
| Supertrend period=2, mult=3.7 |
18.0% | -79.8% | 0.54 | 0.23 | 19.3x | 102 | 55% |
| ROC 모멘텀 n=44, threshold=0.04 |
19.4% | -87.5% | 0.54 | 0.22 | 23.8x | 248 | 43% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=22, mult=2 |
13.9% | -91.2% | 0.51 | 0.15 | 10.3x | 78 | 33% |
| Buy and hold | 10.6% | -94.7% | 0.55 | 0.11 | 6.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 39-day average price crosses above the 120-day average
- Sell — Sell (to cash) when the 39-day average falls below the 120-day average