Trend-Following Backtester · Guide · backtest 한국어
equity · SE
BioArctic AB Class B backtest
10 trend-following strategies were compared on the full daily history of BioArctic AB Class B. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 30.9%, drawdown -69.4%).
Sharpe leader (same as main): Supertrend — CAGR 20.5%, MDD -68.2%, Sharpe 0.45, 46% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=23, mult=4.7 |
20.5% | -68.2% | 0.45 | 0.30 | 5.2x | 26 | 46% |
| SMA 크로스오버 fast=50, slow=74 |
17.7% | -69.2% | 0.44 | 0.26 | 4.3x | 45 | 51% |
| MACD fast=13, slow=16, signal=11 |
16.7% | -52.1% | 0.41 | 0.32 | 3.9x | 166 | 50% |
| EMA 크로스오버 fast=57, slow=119 |
9.9% | -66.4% | 0.37 | 0.15 | 2.3x | 13 | 56% |
| ROC 모멘텀 n=67, threshold=-0.01 |
9.2% | -73.7% | 0.37 | 0.13 | 2.2x | 122 | 50% |
| ADX / DI 방향성 period=21, threshold=22 |
3.8% | -45.5% | 0.28 | 0.08 | 1.4x | 32 | 22% |
| Parabolic SAR step=0.035, maxStep=0.18 |
-3.9% | -85.4% | 0.21 | -0.05 | 0.7x | 248 | 47% |
| Donchian 채널 돌파 entryN=55, exitN=70 |
-3.8% | -73.2% | 0.21 | -0.05 | 0.7x | 21 | 61% |
| 볼린저 밴드 돌파 n=48, k=3.1 |
1.1% | -65.9% | 0.20 | 0.02 | 1.1x | 24 | 22% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=14, mult=3.2 |
-1.6% | -68.2% | 0.12 | -0.02 | 0.9x | 24 | 23% |
| Buy and hold | 30.9% | -69.4% | 0.57 | 0.45 | 10.9x | 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) — 23-day volatility, 4.7× band
- Sell — Sell when price drops below the trend line (flips down)