Trend-Following Backtester · Guide · backtest 한국어
equity · US
Bio-Techne Corp backtest
10 trend-following strategies were compared on the full daily history of Bio-Techne Corp. 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 18.9%, drawdown -74.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.6%, MDD -67.3%, Sharpe 0.57, 62% 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=31, slow=193 |
13.6% | -67.3% | 0.57 | 0.20 | 117.2x | 77 | 62% |
| Donchian 채널 돌파 entryN=75, exitN=73 |
12.5% | -66.2% | 0.54 | 0.19 | 81.4x | 55 | 62% |
| EMA 크로스오버 fast=24, slow=217 |
11.4% | -69.9% | 0.50 | 0.16 | 57.3x | 85 | 65% |
| ADX / DI 방향성 period=32, threshold=22 |
7.8% | -44.2% | 0.50 | 0.18 | 16.7x | 69 | 19% |
| 볼린저 밴드 돌파 n=36, k=3.5 |
4.5% | -36.8% | 0.41 | 0.12 | 5.2x | 37 | 9% |
| ROC 모멘텀 n=140, threshold=0.12 |
7.2% | -82.1% | 0.39 | 0.09 | 13.7x | 282 | 43% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=21, mult=3 |
5.9% | -56.4% | 0.38 | 0.10 | 8.5x | 111 | 32% |
| Supertrend period=17, mult=4 |
6.7% | -78.9% | 0.37 | 0.08 | 11.3x | 137 | 57% |
| MACD fast=28, slow=31, signal=24 |
4.0% | -80.8% | 0.28 | 0.05 | 4.4x | 371 | 52% |
| Parabolic SAR step=0.015, maxStep=0.24 |
0.1% | -89.7% | 0.15 | 0.00 | 1.0x | 653 | 54% |
| Buy and hold | 18.9% | -74.4% | 0.63 | 0.25 | 655.8x | 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 31-day average price crosses above the 193-day average
- Sell — Sell (to cash) when the 31-day average falls below the 193-day average