Trend-Following Backtester · Guide · backtest 한국어
equity · US
Bristol-Myers Squibb Company backtest
10 trend-following strategies were compared on the full daily history of Bristol-Myers Squibb Company. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.5%, MDD -57.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.8%, drawdown -76.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.5%, MDD -57.7%, Sharpe 0.42, 64% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 19.0%p (CAGR 6.5%, MDD -57.7%, exposure 64%).
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=21, slow=367 |
6.5% | -57.7% | 0.42 | 0.11 | 31.0x | 53 | 64% |
| EMA 크로스오버 fast=65, slow=209 |
6.2% | -59.9% | 0.40 | 0.10 | 25.6x | 49 | 63% |
| ROC 모멘텀 n=188, threshold=-0.06 |
4.6% | -71.2% | 0.32 | 0.07 | 11.7x | 307 | 73% |
| Donchian 채널 돌파 entryN=8, exitN=93 |
4.8% | -75.7% | 0.32 | 0.06 | 12.5x | 139 | 90% |
| Supertrend period=13, mult=5 |
0.7% | -81.3% | 0.13 | 0.01 | 1.4x | 173 | 56% |
| 볼린저 밴드 돌파 n=46, k=2.9 |
0.2% | -34.5% | 0.07 | 0.01 | 1.1x | 84 | 13% |
| ADX / DI 방향성 period=17, threshold=46 |
0.1% | -11.4% | 0.05 | 0.01 | 1.0x | 10 | 1% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=27, mult=4 |
-0.8% | -61.9% | -0.04 | -0.01 | 0.6x | 112 | 16% |
| MACD fast=19, slow=38, signal=19 |
-3.1% | -89.6% | -0.08 | -0.03 | 0.2x | 651 | 51% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-3.6% | -92.9% | -0.11 | -0.04 | 0.1x | 471 | 55% |
| Buy and hold | 6.8% | -76.7% | 0.38 | 0.09 | 34.8x | 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 21-day average price crosses above the 367-day average
- Sell — Sell (to cash) when the 21-day average falls below the 367-day average