Trend-Following Backtester · Guide · backtest 한국어
equity · US
BioLife Solutions, Inc. backtest
10 trend-following strategies were compared on the full daily history of BioLife Solutions, Inc.. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
3 of 10 beat buy and hold (CAGR -3.3%, drawdown -100.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR -10.7%, MDD -100.0%, Sharpe 0.50, 57% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 2.7%, MDD -99.7%, exposure 37%.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=49, exitN=76 |
-10.7% | -100.0% | 0.50 | -0.11 | 0.0x | 83 | 57% |
| SMA 크로스오버 fast=28, slow=91 |
-1.2% | -99.7% | 0.50 | -0.01 | 0.6x | 117 | 44% |
| ADX / DI 방향성 period=26, threshold=18 |
-0.2% | -99.6% | 0.47 | -0.00 | 0.9x | 171 | 37% |
| EMA 크로스오버 fast=64, slow=239 |
2.7% | -99.7% | 0.45 | 0.03 | 2.6x | 41 | 37% |
| Supertrend period=9, mult=5 |
-26.6% | -100.0% | 0.37 | -0.27 | 0.0x | 111 | 58% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-30.0% | -100.0% | 0.17 | -0.30 | 0.0x | 245 | 43% |
| 볼린저 밴드 돌파 n=47, k=3.2 |
-11.0% | -100.0% | 0.01 | -0.11 | 0.0x | 76 | 13% |
| Keltner 채널 돌파 emaPeriod=62, atrPeriod=39, mult=3.1 |
-16.2% | -100.0% | 0.01 | -0.16 | 0.0x | 103 | 19% |
| ROC 모멘텀 n=147, threshold=-0.02 |
-44.0% | -100.0% | -0.00 | -0.44 | 0.0x | 537 | 47% |
| MACD fast=21, slow=55, signal=24 |
-54.0% | -100.0% | -0.03 | -0.54 | 0.0x | 413 | 51% |
| Buy and hold | -3.3% | -100.0% | 0.77 | -0.03 | 0.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 49 days
- Sell — Sell when price breaks below the lowest low of the last 76 days