Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Swedish Orphan Biovitrum AB backtest
10 trend-following strategies were compared on the full daily history of Swedish Orphan Biovitrum AB. 3 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 14.2%, MDD -41.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 11.9%, drawdown -78.3%).
Sharpe leader (same as main): Supertrend — CAGR 14.2%, MDD -41.2%, Sharpe 0.66, 49% exposure.
Return/drawdown alternative: Supertrend — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 37.1%p (CAGR 14.2%, MDD -41.2%, exposure 49%).
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=12, mult=4.6 |
14.2% | -41.2% | 0.66 | 0.34 | 14.1x | 57 | 49% |
| Donchian 채널 돌파 entryN=31, exitN=45 |
13.8% | -66.0% | 0.60 | 0.21 | 13.2x | 51 | 61% |
| SMA 크로스오버 fast=67, slow=108 |
12.5% | -60.8% | 0.57 | 0.21 | 10.5x | 43 | 53% |
| ROC 모멘텀 n=129, threshold=0.02 |
10.7% | -59.9% | 0.52 | 0.18 | 7.6x | 123 | 52% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=26, mult=1.6 |
9.6% | -37.1% | 0.52 | 0.26 | 6.2x | 120 | 38% |
| EMA 크로스오버 fast=44, slow=101 |
10.5% | -65.6% | 0.50 | 0.16 | 7.4x | 33 | 56% |
| 볼린저 밴드 돌파 n=32, k=1.6 |
7.4% | -49.1% | 0.42 | 0.15 | 4.1x | 158 | 38% |
| ADX / DI 방향성 period=47, threshold=12 |
5.2% | -45.0% | 0.37 | 0.12 | 2.7x | 92 | 30% |
| MACD fast=19, slow=28, signal=12 |
4.2% | -70.8% | 0.29 | 0.06 | 2.3x | 287 | 52% |
| Parabolic SAR step=0.015, maxStep=0.36 |
1.6% | -79.4% | 0.19 | 0.02 | 1.4x | 357 | 51% |
| Buy and hold | 11.9% | -78.3% | 0.49 | 0.15 | 9.4x | 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) — 12-day volatility, 4.6× band
- Sell — Sell when price drops below the trend line (flips down)