Trend-Following Backtester · Guide · backtest 한국어
equity · US
BioMarin Pharmaceutical Inc. backtest
10 trend-following strategies were compared on the full daily history of BioMarin Pharmaceutical Inc.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.5%, MDD -64.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 6.1%, drawdown -90.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.5%, MDD -64.2%, Sharpe 0.42, 53% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 26.3%p (CAGR 8.5%, MDD -64.2%, exposure 53%).
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=57, slow=216 |
8.5% | -64.2% | 0.42 | 0.13 | 9.2x | 37 | 53% |
| EMA 크로스오버 fast=44, slow=130 |
6.7% | -76.5% | 0.36 | 0.09 | 5.8x | 45 | 53% |
| Donchian 채널 돌파 entryN=27, exitN=94 |
6.2% | -84.9% | 0.35 | 0.07 | 5.1x | 49 | 76% |
| Supertrend period=29, mult=5 |
4.4% | -82.9% | 0.29 | 0.05 | 3.2x | 73 | 51% |
| Parabolic SAR step=0.005, maxStep=0.12 |
4.2% | -79.1% | 0.28 | 0.05 | 3.0x | 224 | 51% |
| ROC 모멘텀 n=138, threshold=-0.09 |
2.9% | -89.2% | 0.26 | 0.03 | 2.2x | 207 | 68% |
| 볼린저 밴드 돌파 n=57, k=3.5 |
2.6% | -42.7% | 0.23 | 0.06 | 2.0x | 16 | 8% |
| ADX / DI 방향성 period=34, threshold=23 |
2.4% | -41.0% | 0.23 | 0.06 | 1.9x | 26 | 7% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=7, mult=3.1 |
2.6% | -49.1% | 0.22 | 0.05 | 2.0x | 71 | 25% |
| MACD fast=14, slow=21, signal=11 |
-4.2% | -92.1% | 0.04 | -0.05 | 0.3x | 478 | 50% |
| Buy and hold | 6.1% | -90.6% | 0.37 | 0.07 | 5.0x | 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 57-day average price crosses above the 216-day average
- Sell — Sell (to cash) when the 57-day average falls below the 216-day average