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 4.2%, MDD -41.1%).
Results by strategy
5 of 10 beat buy and hold (CAGR 3.4%, drawdown -82.0%).
Sharpe leader (same as main): Supertrend — CAGR 5.6%, MDD -47.0%, Sharpe 0.38, 52% exposure.
Return/drawdown alternative: MACD — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 35.0%p (CAGR 4.2%, MDD -41.1%, 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=13, mult=3.8 |
5.6% | -47.0% | 0.38 | 0.12 | 4.2x | 143 | 52% |
| EMA 크로스오버 fast=15, slow=207 |
4.3% | -48.4% | 0.33 | 0.09 | 3.1x | 51 | 52% |
| Donchian 채널 돌파 entryN=11, exitN=40 |
5.0% | -64.4% | 0.32 | 0.08 | 3.6x | 111 | 77% |
| MACD fast=21, slow=57, signal=23 |
4.2% | -41.1% | 0.31 | 0.10 | 2.9x | 221 | 51% |
| SMA 크로스오버 fast=34, slow=209 |
3.7% | -54.8% | 0.30 | 0.07 | 2.7x | 39 | 53% |
| ROC 모멘텀 n=210, threshold=0.07 |
2.3% | -52.0% | 0.22 | 0.04 | 1.8x | 165 | 43% |
| 볼린저 밴드 돌파 n=56, k=1.6 |
1.4% | -54.3% | 0.17 | 0.03 | 1.5x | 129 | 38% |
| Parabolic SAR step=0.005, maxStep=0.28 |
0.6% | -74.0% | 0.13 | 0.01 | 1.2x | 221 | 53% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=24, mult=1.7 |
0.7% | -64.6% | 0.12 | 0.01 | 1.2x | 163 | 41% |
| ADX / DI 방향성 period=13, threshold=17 |
-2.5% | -76.1% | -0.08 | -0.03 | 0.5x | 441 | 38% |
| 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) — 13-day volatility, 3.8× band
- Sell — Sell when price drops below the trend line (flips down)