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. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 19.9%, MDD -45.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 19.9%, drawdown -77.0%).
Sharpe leader (same as main): Supertrend — CAGR 19.9%, MDD -45.4%, Sharpe 0.82, 57% exposure.
Return/drawdown alternative: Supertrend — CAGR is 0.0%p lower than buy and hold, while drawdown improves by 31.7%p (CAGR 19.9%, MDD -45.4%, 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Supertrend period=25, mult=2.2 |
19.9% | -45.4% | 0.82 | 0.44 | 125.6x | 297 | 57% |
| EMA 크로스오버 fast=59, slow=211 |
18.8% | -71.0% | 0.78 | 0.26 | 98.0x | 22 | 66% |
| SMA 크로스오버 fast=31, slow=132 |
18.1% | -65.0% | 0.75 | 0.28 | 83.9x | 55 | 64% |
| Donchian 채널 돌파 entryN=73, exitN=79 |
16.9% | -74.6% | 0.72 | 0.23 | 64.9x | 35 | 66% |
| ROC 모멘텀 n=88, threshold=-0.07 |
16.5% | -74.1% | 0.67 | 0.22 | 59.2x | 181 | 75% |
| MACD fast=51, slow=72, signal=11 |
14.4% | -47.0% | 0.66 | 0.31 | 35.7x | 213 | 53% |
| Parabolic SAR step=0.03, maxStep=0.2 |
13.8% | -70.5% | 0.63 | 0.20 | 31.7x | 645 | 53% |
| ADX / DI 방향성 period=24, threshold=17 |
9.8% | -44.6% | 0.57 | 0.22 | 12.1x | 208 | 38% |
| 볼린저 밴드 돌파 n=51, k=2.4 |
9.3% | -34.1% | 0.56 | 0.27 | 10.8x | 91 | 34% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=17, mult=2.2 |
10.1% | -44.4% | 0.56 | 0.23 | 12.9x | 153 | 47% |
| Buy and hold | 19.9% | -77.0% | 0.67 | 0.26 | 126.3x | 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) — 25-day volatility, 2.2× band
- Sell — Sell when price drops below the trend line (flips down)