Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Medacta Group SA backtest
10 trend-following strategies were compared on the full daily history of Medacta Group SA. 4 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 9.3%, MDD -30.3%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.4%, drawdown -54.6%).
Sharpe leader (same as main): Supertrend — CAGR 9.3%, MDD -30.3%, Sharpe 0.51, 59% exposure.
Return/drawdown alternative: Supertrend — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 24.2%p (CAGR 9.3%, MDD -30.3%, exposure 59%).
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=35, mult=4.5 |
9.3% | -30.3% | 0.51 | 0.31 | 1.9x | 18 | 59% |
| SMA 크로스오버 fast=55, slow=154 |
7.1% | -42.6% | 0.42 | 0.17 | 1.7x | 10 | 57% |
| Donchian 채널 돌파 entryN=85, exitN=52 |
5.1% | -33.7% | 0.35 | 0.15 | 1.4x | 10 | 44% |
| EMA 크로스오버 fast=48, slow=210 |
5.2% | -43.5% | 0.34 | 0.12 | 1.5x | 8 | 62% |
| ROC 모멘텀 n=148, threshold=0 |
4.3% | -42.0% | 0.30 | 0.10 | 1.4x | 48 | 57% |
| Keltner 채널 돌파 emaPeriod=64, atrPeriod=9, mult=1.1 |
-2.2% | -33.1% | 0.01 | -0.07 | 0.8x | 52 | 48% |
| 볼린저 밴드 돌파 n=59, k=1.9 |
-1.7% | -30.9% | 0.00 | -0.05 | 0.9x | 26 | 32% |
| MACD fast=6, slow=12, signal=17 |
-5.6% | -61.6% | -0.12 | -0.09 | 0.7x | 185 | 50% |
| Parabolic SAR step=0.03, maxStep=0.14 |
-7.6% | -61.8% | -0.20 | -0.12 | 0.6x | 195 | 52% |
| ADX / DI 방향성 period=17, threshold=38 |
-0.8% | -10.8% | -0.20 | -0.07 | 0.9x | 2 | 1% |
| Buy and hold | 4.4% | -54.6% | 0.30 | 0.08 | 1.4x | 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) — 35-day volatility, 4.5× band
- Sell — Sell when price drops below the trend line (flips down)