Trend-Following Backtester · Guide · backtest 한국어
equity · US
Biodesix, Inc. backtest
10 trend-following strategies were compared on the full daily history of Biodesix, Inc.. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.4%, MDD -33.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -35.2%, drawdown -99.3%).
Sharpe leader (same as main): Supertrend — CAGR 10.4%, MDD -77.2%, Sharpe 0.45, 34% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 10.7%, MDD -61.9%, exposure 29%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 45.6%p higher than buy and hold, while drawdown improves by 22.1%p (CAGR 8.4%, MDD -33.0%, exposure 5%).
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=3.5 |
10.4% | -77.2% | 0.45 | 0.14 | 1.8x | 21 | 34% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=20, mult=1.1 |
10.7% | -61.9% | 0.45 | 0.17 | 1.8x | 37 | 29% |
| 볼린저 밴드 돌파 n=24, k=3.5 |
8.4% | -33.0% | 0.41 | 0.25 | 1.6x | 4 | 5% |
| SMA 크로스오버 fast=17, slow=70 |
7.0% | -48.7% | 0.39 | 0.14 | 1.5x | 19 | 35% |
| Donchian 채널 돌파 entryN=17, exitN=9 |
2.2% | -77.0% | 0.31 | 0.03 | 1.1x | 33 | 34% |
| ROC 모멘텀 n=35, threshold=0.03 |
1.5% | -66.4% | 0.31 | 0.02 | 1.1x | 91 | 36% |
| ADX / DI 방향성 period=12, threshold=37 |
2.2% | -42.0% | 0.23 | 0.05 | 1.1x | 20 | 8% |
| EMA 크로스오버 fast=30, slow=191 |
1.8% | -53.6% | 0.21 | 0.03 | 1.1x | 5 | 17% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-17.0% | -96.6% | 0.04 | -0.18 | 0.3x | 65 | 43% |
| MACD fast=12, slow=57, signal=23 |
-21.6% | -89.5% | -0.01 | -0.24 | 0.2x | 50 | 50% |
| Buy and hold | -35.2% | -99.3% | 0.06 | -0.35 | 0.1x | 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, 3.5× band
- Sell — Sell when price drops below the trend line (flips down)