Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Sartorius Stedim Biotech SA backtest
10 trend-following strategies were compared on the full daily history of Sartorius Stedim Biotech SA. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 19.7%, MDD -43.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 19.2%, drawdown -77.0%).
Sharpe leader (same as main): Supertrend — CAGR 19.7%, MDD -43.6%, Sharpe 0.82, 57% exposure.
Return/drawdown alternative: Supertrend — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 33.5%p (CAGR 19.7%, MDD -43.6%, exposure 57%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=25, mult=2.2 |
19.7% | -43.6% | 0.82 | 0.45 | 119.5x | 296 | 57% |
| EMA 크로스오버 fast=59, slow=211 |
18.8% | -71.0% | 0.78 | 0.27 | 98.0x | 22 | 66% |
| SMA 크로스오버 fast=31, slow=132 |
17.4% | -65.0% | 0.73 | 0.27 | 71.4x | 55 | 64% |
| Donchian 채널 돌파 entryN=73, exitN=79 |
17.0% | -74.0% | 0.72 | 0.23 | 64.9x | 34 | 66% |
| ROC 모멘텀 n=88, threshold=-0.07 |
15.9% | -74.1% | 0.65 | 0.21 | 50.3x | 181 | 75% |
| MACD fast=51, slow=72, signal=11 |
14.1% | -47.0% | 0.65 | 0.30 | 33.2x | 212 | 53% |
| Parabolic SAR step=0.03, maxStep=0.2 |
13.6% | -70.2% | 0.62 | 0.19 | 29.5x | 644 | 53% |
| ADX / DI 방향성 period=24, threshold=17 |
9.8% | -44.6% | 0.57 | 0.22 | 12.1x | 208 | 38% |
| 볼린저 밴드 돌파 n=51, k=2.4 |
9.4% | -34.1% | 0.57 | 0.27 | 10.8x | 90 | 34% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=17, mult=2.2 |
10.1% | -44.1% | 0.56 | 0.23 | 12.9x | 152 | 47% |
| Buy and hold | 19.2% | -77.0% | 0.66 | 0.25 | 107.4x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 25-day volatility, 2.2× band
- Sell — Sell when price drops below the trend line (flips down)