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. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 50.8%, MDD -45.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 29.9%, drawdown -89.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 53.8%, MDD -60.4%, Sharpe 1.04, 53% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 23.9%p higher than buy and hold, while drawdown improves by 29.5%p (CAGR 50.8%, 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=80, exitN=105 |
53.8% | -60.4% | 1.04 | 0.89 | 33.6x | 5 | 53% |
| ROC 모멘텀 n=119, threshold=0.08 |
50.8% | -45.5% | 1.01 | 1.12 | 28.5x | 28 | 51% |
| SMA 크로스오버 fast=42, slow=153 |
48.0% | -51.2% | 0.97 | 0.94 | 24.5x | 8 | 53% |
| EMA 크로스오버 fast=31, slow=154 |
44.5% | -51.2% | 0.96 | 0.87 | 20.2x | 6 | 49% |
| ADX / DI 방향성 period=34, threshold=19 |
23.3% | -40.1% | 0.73 | 0.58 | 5.5x | 26 | 27% |
| 볼린저 밴드 돌파 n=24, k=3.4 |
17.3% | -26.4% | 0.71 | 0.65 | 3.7x | 12 | 12% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=10, mult=2.7 |
22.1% | -42.4% | 0.71 | 0.52 | 5.1x | 26 | 28% |
| Supertrend period=9, mult=3.7 |
27.0% | -65.4% | 0.71 | 0.41 | 7.0x | 47 | 58% |
| MACD fast=13, slow=40, signal=13 |
10.7% | -73.6% | 0.45 | 0.15 | 2.3x | 117 | 50% |
| Parabolic SAR step=0.035, maxStep=0.38 |
1.4% | -73.7% | 0.28 | 0.02 | 1.1x | 201 | 49% |
| Buy and hold | 29.9% | -89.9% | 0.72 | 0.33 | 8.5x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 80 days
- Sell — Sell when price breaks below the lowest low of the last 105 days