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%).
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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=32, k=3.5 |
5.9% | -27.0% | 0.49 | 0.22 | 4.6x | 26 | 9% |
| ADX / DI 방향성 period=27, threshold=33 |
4.2% | -17.6% | 0.47 | 0.24 | 3.0x | 18 | 6% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=29, mult=3.6 |
5.2% | -47.3% | 0.41 | 0.11 | 3.9x | 52 | 13% |
| SMA 크로스오버 fast=78, slow=142 |
7.5% | -57.0% | 0.40 | 0.13 | 6.9x | 58 | 52% |
| ROC 모멘텀 n=242, threshold=0.13 |
6.2% | -73.0% | 0.36 | 0.08 | 4.9x | 142 | 40% |
| EMA 크로스오버 fast=49, slow=325 |
5.0% | -90.7% | 0.34 | 0.06 | 3.7x | 21 | 53% |
| Donchian 채널 돌파 entryN=51, exitN=46 |
4.3% | -82.7% | 0.29 | 0.05 | 3.1x | 69 | 50% |
| MACD fast=11, slow=25, signal=17 |
-3.8% | -94.6% | 0.06 | -0.04 | 0.4x | 397 | 51% |
| Supertrend period=29, mult=2.2 |
-3.2% | -89.5% | 0.05 | -0.04 | 0.4x | 293 | 51% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-3.5% | -86.6% | 0.03 | -0.04 | 0.4x | 289 | 50% |
| Buy and hold | 2.2% | -97.3% | 0.30 | 0.02 | 1.8x | 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 32-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 32-day middle average