Trend-Following Backtester · Guide · backtest 한국어
equity · US
BridgeBio Pharma, Inc. backtest
10 trend-following strategies were compared on the full daily history of BridgeBio Pharma, Inc.. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 27.1%, MDD -38.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR 15.2%, drawdown -92.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 34.6%, MDD -45.0%, Sharpe 0.78, 60% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 19.3%p higher than buy and hold, while drawdown improves by 47.8%p (CAGR 27.1%, MDD -38.1%, exposure 19%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=151, threshold=0.03 |
34.6% | -45.0% | 0.78 | 0.77 | 8.4x | 42 | 60% |
| Donchian 채널 돌파 entryN=94, exitN=62 |
31.0% | -40.3% | 0.74 | 0.77 | 7.0x | 7 | 50% |
| EMA 크로스오버 fast=50, slow=187 |
29.3% | -44.6% | 0.74 | 0.66 | 6.3x | 7 | 55% |
| 볼린저 밴드 돌파 n=30, k=2.8 |
27.1% | -38.1% | 0.73 | 0.71 | 5.6x | 20 | 19% |
| SMA 크로스오버 fast=22, slow=181 |
28.3% | -47.6% | 0.69 | 0.59 | 6.0x | 15 | 55% |
| Supertrend period=13, mult=3.7 |
18.4% | -67.8% | 0.55 | 0.27 | 3.4x | 31 | 57% |
| ADX / DI 방향성 period=22, threshold=20 |
17.0% | -39.1% | 0.53 | 0.43 | 3.1x | 35 | 30% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=10, mult=2.7 |
15.6% | -48.2% | 0.50 | 0.32 | 2.8x | 22 | 31% |
| MACD fast=18, slow=52, signal=16 |
6.7% | -88.5% | 0.46 | 0.08 | 1.6x | 68 | 48% |
| Parabolic SAR step=0.005, maxStep=0.26 |
4.7% | -59.0% | 0.35 | 0.08 | 1.4x | 66 | 55% |
| Buy and hold | 15.2% | -92.8% | 0.61 | 0.16 | 2.8x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 151-day return is greater than 3%
- Sell — Sell when the 151-day return drops to 3% or below