Trend-Following Backtester · Guide · backtest 한국어

equity · FR

Sartorius Stedim Biotech SA backtest

10 trend-following strategies were compared on the full daily history of Sartorius Stedim Biotech SA. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 19.7%, MDD -43.6%).

Data 2000-01-03 ~ 2026-07-31daily bars 6,829 (26.6 years)Costs 0.5%Venue EURONEXTMonthly snapshot 2026-07-31

Results by strategy

1 of 10 beat buy and hold (CAGR 19.2%, drawdown -77.0%).

Sharpe leader (same as main): Supertrend — CAGR 19.7%, MDD -43.6%, Sharpe 0.82, 57% exposure.

Return/drawdown alternative: Supertrend — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 33.5%p (CAGR 19.7%, MDD -43.6%, exposure 57%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Supertrend
period=25, mult=2.2
19.7%-43.6%0.820.45119.5x29657%
EMA 크로스오버
fast=59, slow=211
18.8%-71.0%0.780.2798.0x2266%
SMA 크로스오버
fast=31, slow=132
17.4%-65.0%0.730.2771.4x5564%
Donchian 채널 돌파
entryN=73, exitN=79
17.0%-74.0%0.720.2364.9x3466%
ROC 모멘텀
n=88, threshold=-0.07
15.9%-74.1%0.650.2150.3x18175%
MACD
fast=51, slow=72, signal=11
14.1%-47.0%0.650.3033.2x21253%
Parabolic SAR
step=0.03, maxStep=0.2
13.6%-70.2%0.620.1929.5x64453%
ADX / DI 방향성
period=24, threshold=17
9.8%-44.6%0.570.2212.1x20838%
볼린저 밴드 돌파
n=51, k=2.4
9.4%-34.1%0.570.2710.8x9034%
Keltner 채널 돌파
emaPeriod=48, atrPeriod=17, mult=2.2
10.1%-44.1%0.560.2312.9x15247%
Buy and hold19.2%-77.0%0.660.25107.4x1100%
1x 10x 100x 2001 2005 2009 2013 2017 2021 2025 SupertrendBuy and hold
Supertrend: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -19% -39% -58% -77% 2001 2005 2009 2013 2017 2021 2025 Buy and holdSupertrend
Supertrend maximum drawdown -43.6% (2022-08-17 → 2026-07-22), prior peak not yet recovered.

Rules of the top strategy

Trades the direction of a volatility-based trend line that trails below/above price.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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