Trend-Following Backtester · Guide · backtest 한국어
equity · US
Biogen Inc. backtest
10 trend-following strategies were compared on the full daily history of Biogen Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.7%, drawdown -90.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.1%, MDD -76.5%, Sharpe 0.42, 55% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=42, slow=60 |
9.1% | -76.5% | 0.42 | 0.12 | 20.9x | 163 | 55% |
| EMA 크로스오버 fast=38, slow=218 |
8.8% | -85.5% | 0.41 | 0.10 | 19.2x | 55 | 56% |
| ROC 모멘텀 n=135, threshold=-0.04 |
8.6% | -84.9% | 0.41 | 0.10 | 17.6x | 315 | 63% |
| Donchian 채널 돌파 entryN=59, exitN=43 |
7.9% | -80.8% | 0.39 | 0.10 | 14.0x | 79 | 47% |
| 볼린저 밴드 돌파 n=57, k=2.2 |
7.0% | -64.9% | 0.37 | 0.11 | 10.6x | 116 | 32% |
| Supertrend period=15, mult=3.6 |
3.7% | -93.1% | 0.29 | 0.04 | 3.6x | 170 | 53% |
| ADX / DI 방향성 period=39, threshold=12 |
3.9% | -85.3% | 0.28 | 0.05 | 3.8x | 248 | 38% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=9, mult=3.7 |
3.3% | -68.5% | 0.25 | 0.05 | 3.1x | 78 | 24% |
| MACD fast=20, slow=29, signal=23 |
-3.8% | -96.3% | 0.08 | -0.04 | 0.3x | 404 | 52% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-4.5% | -94.0% | 0.06 | -0.05 | 0.2x | 607 | 51% |
| Buy and hold | 12.7% | -90.0% | 0.49 | 0.14 | 64.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 42-day average price crosses above the 60-day average
- Sell — Sell (to cash) when the 42-day average falls below the 60-day average