Trend-Following Backtester · Guide · backtest 한국어
equity · CH
BB Biotech AG backtest
10 trend-following strategies were compared on the full daily history of BB Biotech AG. 5 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 4.6%, MDD -40.9%).
Results by strategy
5 of 10 beat buy and hold (CAGR 3.4%, drawdown -82.0%).
Sharpe leader (same as main): Supertrend — CAGR 6.2%, MDD -45.6%, Sharpe 0.42, 52% exposure.
Return/drawdown alternative: MACD — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 36.4%p (CAGR 4.6%, MDD -40.9%, exposure 51%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=11, mult=3.6 |
6.2% | -45.6% | 0.42 | 0.14 | 5.0x | 154 | 52% |
| EMA 크로스오버 fast=13, slow=203 |
4.6% | -50.4% | 0.35 | 0.09 | 3.4x | 63 | 53% |
| Donchian 채널 돌파 entryN=11, exitN=48 |
5.5% | -68.8% | 0.34 | 0.08 | 4.2x | 99 | 79% |
| MACD fast=24, slow=56, signal=21 |
4.6% | -40.9% | 0.34 | 0.11 | 3.3x | 210 | 51% |
| SMA 크로스오버 fast=28, slow=205 |
4.0% | -49.5% | 0.31 | 0.08 | 2.9x | 45 | 53% |
| 볼린저 밴드 돌파 n=68, k=1.8 |
3.2% | -48.5% | 0.30 | 0.07 | 2.3x | 88 | 34% |
| ROC 모멘텀 n=141, threshold=-0.06 |
2.5% | -57.7% | 0.22 | 0.04 | 1.9x | 139 | 66% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=12, mult=3.7 |
0.7% | -26.0% | 0.15 | 0.03 | 1.2x | 4 | 1% |
| Parabolic SAR step=0.005, maxStep=0.38 |
0.9% | -74.0% | 0.14 | 0.01 | 1.3x | 222 | 53% |
| ADX / DI 방향성 period=19, threshold=12 |
-2.2% | -72.0% | -0.05 | -0.03 | 0.5x | 442 | 42% |
| Buy and hold | 3.4% | -82.0% | 0.26 | 0.04 | 2.4x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 11-day volatility, 3.6× band
- Sell — Sell when price drops below the trend line (flips down)