Trend-Following Backtester · Guide · backtest 한국어
equity · US
American Battery Technology Company backtest
10 trend-following strategies were compared on the full daily history of American Battery Technology Company. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 39.2%, MDD -77.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -8.5%, drawdown -98.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 40.0%, MDD -90.6%, Sharpe 0.78, 37% exposure.
Return/drawdown alternative: Supertrend — CAGR is 48.5%p higher than buy and hold, while drawdown improves by 8.1%p (CAGR 39.2%, MDD -77.2%, exposure 34%).
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=20, slow=165 |
40.0% | -90.6% | 0.78 | 0.44 | 33.4x | 12 | 37% |
| ADX / DI 방향성 period=31, threshold=16 |
39.5% | -82.7% | 0.78 | 0.48 | 32.1x | 44 | 30% |
| Supertrend period=16, mult=1.7 |
39.2% | -77.2% | 0.76 | 0.51 | 31.6x | 122 | 34% |
| EMA 크로스오버 fast=78, slow=147 |
33.8% | -83.6% | 0.72 | 0.40 | 20.9x | 10 | 35% |
| ROC 모멘텀 n=144, threshold=0.03 |
32.3% | -94.4% | 0.72 | 0.34 | 18.6x | 58 | 40% |
| 볼린저 밴드 돌파 n=14, k=2.5 |
29.4% | -87.0% | 0.67 | 0.34 | 14.7x | 70 | 15% |
| Parabolic SAR step=0.045, maxStep=0.28 |
18.8% | -92.2% | 0.63 | 0.20 | 6.0x | 296 | 40% |
| MACD fast=19, slow=38, signal=9 |
16.0% | -95.0% | 0.63 | 0.17 | 4.7x | 136 | 51% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=16, mult=1.2 |
21.7% | -87.4% | 0.63 | 0.25 | 7.7x | 50 | 24% |
| Donchian 채널 돌파 entryN=102, exitN=59 |
11.0% | -95.0% | 0.54 | 0.12 | 3.0x | 12 | 39% |
| Buy and hold | -8.5% | -98.8% | 0.58 | -0.09 | 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 20-day average price crosses above the 165-day average
- Sell — Sell (to cash) when the 20-day average falls below the 165-day average