Trend-Following Backtester · Guide · backtest 한국어
equity · US
SAB Biotherapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of SAB Biotherapeutics, Inc.. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR -0.8%, MDD -30.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR -45.8%, drawdown -99.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.6%, MDD -46.6%, Sharpe 0.38, 14% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 53.4%p higher than buy and hold, while drawdown improves by 52.4%p (CAGR -0.8%, MDD -30.5%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=30, threshold=29 |
7.6% | -46.6% | 0.38 | 0.16 | 1.5x | 6 | 14% |
| ROC 모멘텀 n=135, threshold=0.08 |
-4.2% | -63.5% | 0.20 | -0.07 | 0.8x | 40 | 22% |
| Donchian 채널 돌파 entryN=21, exitN=40 |
-16.1% | -79.7% | 0.10 | -0.20 | 0.4x | 14 | 48% |
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=9, mult=2.6 |
-0.8% | -30.5% | 0.05 | -0.03 | 1.0x | 6 | 1% |
| SMA 크로스오버 fast=45, slow=89 |
-15.3% | -83.5% | 0.04 | -0.18 | 0.4x | 12 | 36% |
| EMA 크로스오버 fast=33, slow=47 |
-18.4% | -83.6% | -0.04 | -0.22 | 0.3x | 20 | 37% |
| Supertrend period=8, mult=1.9 |
-22.6% | -86.3% | -0.04 | -0.26 | 0.2x | 48 | 42% |
| 볼린저 밴드 돌파 n=41, k=2 |
-18.4% | -70.6% | -0.21 | -0.26 | 0.3x | 28 | 21% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-27.8% | -87.7% | -0.22 | -0.32 | 0.2x | 78 | 39% |
| MACD fast=12, slow=56, signal=17 |
-49.0% | -97.5% | -0.56 | -0.50 | 0.0x | 74 | 52% |
| Buy and hold | -45.8% | -99.0% | -0.07 | -0.46 | 0.0x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 30-day) is ≥ 29
- Sell — Sell when direction flips or the trend weakens (ADX < 29)