Trend-Following Backtester · Guide · backtest 한국어
equity · GB
SigmaRoc Plc backtest
10 trend-following strategies were compared on the full daily history of SigmaRoc Plc. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.2%, MDD -40.0%).
Results by strategy
6 of 10 beat buy and hold (CAGR -4.3%, drawdown -95.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.6%, MDD -76.8%, Sharpe 0.28, 52% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.9%p higher than buy and hold, while drawdown improves by 18.9%p (CAGR 0.2%, MDD -40.0%, exposure 1%).
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=59, slow=128 |
3.6% | -76.8% | 0.28 | 0.05 | 2.1x | 44 | 52% |
| Donchian 채널 돌파 entryN=53, exitN=56 |
-3.2% | -92.3% | 0.16 | -0.03 | 0.5x | 34 | 63% |
| EMA 크로스오버 fast=45, slow=119 |
-1.4% | -88.9% | 0.15 | -0.02 | 0.7x | 38 | 49% |
| MACD fast=12, slow=54, signal=8 |
-6.6% | -93.4% | 0.15 | -0.07 | 0.2x | 298 | 49% |
| ADX / DI 방향성 period=23, threshold=49 |
0.2% | -40.0% | 0.09 | 0.01 | 1.0x | 6 | 1% |
| ROC 모멘텀 n=106, threshold=0.12 |
-4.0% | -88.3% | 0.08 | -0.05 | 0.4x | 134 | 32% |
| 볼린저 밴드 돌파 n=43, k=3.5 |
-3.1% | -80.6% | 0.03 | -0.04 | 0.5x | 40 | 15% |
| Supertrend period=19, mult=3.5 |
-12.6% | -98.6% | -0.03 | -0.13 | 0.1x | 143 | 53% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-12.6% | -96.4% | -0.04 | -0.13 | 0.1x | 216 | 45% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=29, mult=1.5 |
-10.1% | -97.0% | -0.09 | -0.10 | 0.1x | 110 | 37% |
| Buy and hold | -4.3% | -95.7% | 0.27 | -0.04 | 0.4x | 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 59-day average price crosses above the 128-day average
- Sell — Sell (to cash) when the 59-day average falls below the 128-day average