Trend-Following Backtester · Guide · backtest 한국어
equity · US
BridgeBio Pharma, Inc. backtest
10 trend-following strategies were compared on the full daily history of BridgeBio Pharma, Inc.. 7 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 27.3%, MDD -38.1%).
Results by strategy
7 of 10 beat buy and hold (CAGR 16.2%, drawdown -92.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 35.3%, MDD -45.0%, Sharpe 0.79, 59% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 19.2%p higher than buy and hold, while drawdown improves by 47.8%p (CAGR 27.3%, MDD -38.1%, exposure 19%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=151, threshold=0.03 |
35.3% | -45.0% | 0.79 | 0.78 | 8.5x | 41 | 59% |
| EMA 크로스오버 fast=50, slow=187 |
30.5% | -44.6% | 0.76 | 0.68 | 6.6x | 7 | 55% |
| Donchian 채널 돌파 entryN=94, exitN=62 |
32.3% | -40.3% | 0.76 | 0.80 | 7.3x | 7 | 49% |
| 볼린저 밴드 돌파 n=30, k=2.8 |
27.3% | -38.1% | 0.73 | 0.72 | 5.5x | 19 | 19% |
| SMA 크로스오버 fast=22, slow=181 |
29.5% | -47.6% | 0.71 | 0.62 | 6.3x | 15 | 55% |
| Supertrend period=13, mult=3.7 |
19.4% | -67.8% | 0.57 | 0.29 | 3.5x | 31 | 57% |
| ADX / DI 방향성 period=22, threshold=20 |
17.9% | -39.1% | 0.55 | 0.46 | 3.2x | 35 | 29% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=10, mult=2.7 |
16.1% | -48.2% | 0.51 | 0.33 | 2.9x | 21 | 30% |
| MACD fast=18, slow=52, signal=16 |
6.5% | -88.5% | 0.45 | 0.07 | 1.6x | 67 | 48% |
| Parabolic SAR step=0.005, maxStep=0.26 |
4.9% | -59.0% | 0.35 | 0.08 | 1.4x | 65 | 55% |
| Buy and hold | 16.2% | -92.8% | 0.62 | 0.17 | 2.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 151-day return is greater than 3%
- Sell — Sell when the 151-day return drops to 3% or below