Trend-Following Backtester · Guide · backtest 한국어
equity · US
Bioventus Inc. backtest
10 trend-following strategies were compared on the full daily history of Bioventus Inc.. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 28.6%, MDD -37.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR -6.8%, drawdown -95.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 45.1%, MDD -41.5%, Sharpe 1.06, 45% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 46.3%, MDD -41.5%, exposure 53%.
Return/drawdown alternative: Supertrend — CAGR is 51.8%p higher than buy and hold, while drawdown improves by 53.7%p (CAGR 28.6%, MDD -37.7%, exposure 45%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=51, slow=130 |
45.1% | -41.5% | 1.06 | 1.09 | 7.6x | 7 | 45% |
| ROC 모멘텀 n=118, threshold=-0.06 |
46.3% | -41.5% | 1.03 | 1.12 | 8.0x | 29 | 53% |
| EMA 크로스오버 fast=46, slow=99 |
37.0% | -41.5% | 0.94 | 0.89 | 5.6x | 5 | 45% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=15, mult=1.2 |
29.4% | -41.8% | 0.82 | 0.70 | 4.1x | 31 | 36% |
| Supertrend period=28, mult=4.6 |
28.6% | -37.7% | 0.79 | 0.76 | 4.0x | 13 | 45% |
| ADX / DI 방향성 period=26, threshold=12 |
28.2% | -51.8% | 0.76 | 0.55 | 3.9x | 47 | 45% |
| 볼린저 밴드 돌파 n=40, k=2.1 |
21.8% | -45.8% | 0.69 | 0.48 | 2.9x | 25 | 31% |
| Parabolic SAR step=0.005, maxStep=0.18 |
22.0% | -78.0% | 0.68 | 0.28 | 3.0x | 37 | 45% |
| Donchian 채널 돌파 entryN=91, exitN=76 |
20.5% | -44.9% | 0.65 | 0.46 | 2.8x | 5 | 39% |
| MACD fast=18, slow=23, signal=15 |
-11.1% | -88.7% | 0.09 | -0.12 | 0.5x | 81 | 51% |
| Buy and hold | -6.8% | -95.2% | 0.33 | -0.07 | 0.7x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 51-day average price crosses above the 130-day average
- Sell — Sell (to cash) when the 51-day average falls below the 130-day average