Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Biotech Growth Trust PLC backtest
10 trend-following strategies were compared on the full daily history of Biotech Growth Trust PLC. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 11.1%, MDD -35.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 10.3%, drawdown -84.1%).
Sharpe leader (same as main): Supertrend — CAGR 16.1%, MDD -37.2%, Sharpe 0.90, 57% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.8%p higher than buy and hold, while drawdown improves by 46.8%p (CAGR 11.1%, MDD -35.8%, exposure 30%).
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=11, mult=4.7 |
16.1% | -37.2% | 0.90 | 0.43 | 77.5x | 119 | 57% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=15, mult=1.6 |
12.3% | -39.7% | 0.82 | 0.31 | 29.3x | 195 | 40% |
| 볼린저 밴드 돌파 n=12, k=2 |
11.1% | -35.8% | 0.82 | 0.31 | 21.3x | 324 | 30% |
| Donchian 채널 돌파 entryN=37, exitN=26 |
12.9% | -51.8% | 0.76 | 0.25 | 34.4x | 97 | 52% |
| ADX / DI 방향성 period=13, threshold=33 |
8.3% | -30.7% | 0.70 | 0.27 | 10.2x | 160 | 20% |
| ROC 모멘텀 n=150, threshold=-0.04 |
13.4% | -50.4% | 0.68 | 0.27 | 39.6x | 113 | 65% |
| SMA 크로스오버 fast=31, slow=156 |
12.7% | -47.1% | 0.66 | 0.27 | 33.1x | 45 | 58% |
| EMA 크로스오버 fast=42, slow=128 |
12.6% | -47.1% | 0.66 | 0.27 | 32.1x | 49 | 58% |
| Parabolic SAR step=0.035, maxStep=0.2 |
11.3% | -77.2% | 0.64 | 0.15 | 22.5x | 717 | 53% |
| MACD fast=16, slow=36, signal=13 |
8.9% | -61.8% | 0.55 | 0.14 | 11.9x | 348 | 52% |
| Buy and hold | 10.3% | -84.1% | 0.49 | 0.12 | 17.3x | 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) — 11-day volatility, 4.7× band
- Sell — Sell when price drops below the trend line (flips down)