Trend-Following Backtester · Guide · backtest 한국어
equity · FR
bioMerieux SA backtest
10 trend-following strategies were compared on the full daily history of bioMerieux SA. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.1%, drawdown -53.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.1%, MDD -51.9%, Sharpe 0.47, 69% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 8.5%, MDD -53.5%, exposure 97%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=99, slow=179 |
8.1% | -51.9% | 0.47 | 0.16 | 5.6x | 18 | 69% |
| ROC 모멘텀 Hold-like · Exposure 97% n=7, threshold=-0.09 |
8.5% | -53.5% | 0.44 | 0.16 | 6.0x | 73 | 97% |
| SMA 크로스오버 fast=35, slow=176 |
7.2% | -55.4% | 0.43 | 0.13 | 4.6x | 38 | 67% |
| Donchian 채널 돌파 entryN=71, exitN=61 |
6.0% | -44.7% | 0.39 | 0.13 | 3.6x | 32 | 62% |
| ADX / DI 방향성 period=38, threshold=16 |
1.5% | -39.1% | 0.18 | 0.04 | 1.4x | 70 | 22% |
| 볼린저 밴드 돌파 n=13, k=3.2 |
0.3% | -6.7% | 0.16 | 0.04 | 1.1x | 8 | 1% |
| Supertrend period=26, mult=4.8 |
1.0% | -60.0% | 0.15 | 0.02 | 1.3x | 78 | 62% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=21, mult=3.8 |
0.3% | -6.3% | 0.15 | 0.05 | 1.1x | 8 | 1% |
| Parabolic SAR step=0.01, maxStep=0.22 |
-3.4% | -69.9% | -0.08 | -0.05 | 0.5x | 298 | 53% |
| MACD fast=13, slow=43, signal=17 |
-3.4% | -68.0% | -0.08 | -0.05 | 0.5x | 301 | 50% |
| Buy and hold | 9.1% | -53.6% | 0.46 | 0.17 | 6.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 99-day EMA crosses above the 179-day EMA
- Sell — Sell when the 99-day EMA falls below the 179-day EMA