Trend-Following Backtester · Guide · backtest 한국어
equity · US
MeiraGTx Holdings plc backtest
10 trend-following strategies were compared on the full daily history of MeiraGTx Holdings plc. 6 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.1%, MDD -14.1%).
Results by strategy
6 of 10 beat buy and hold (CAGR -1.1%, drawdown -88.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 6.1%, MDD -14.1%, Sharpe 0.56, 2% exposure.
CAGR reference leader: MACD — CAGR 10.8%, MDD -55.7%, exposure 49%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.2%p higher than buy and hold, while drawdown improves by 73.9%p (CAGR 6.1%, MDD -14.1%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=16, k=3.3 |
6.1% | -14.1% | 0.56 | 0.43 | 1.6x | 6 | 2% |
| MACD fast=14, slow=24, signal=15 |
10.8% | -55.7% | 0.45 | 0.19 | 2.3x | 105 | 49% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=17, mult=1.9 |
5.9% | -39.8% | 0.35 | 0.15 | 1.6x | 39 | 15% |
| SMA 크로스오버 fast=28, slow=32 |
4.9% | -72.8% | 0.33 | 0.07 | 1.5x | 119 | 47% |
| ROC 모멘텀 n=37, threshold=0 |
2.6% | -69.6% | 0.28 | 0.04 | 1.2x | 146 | 48% |
| Donchian 채널 돌파 entryN=108, exitN=25 |
1.4% | -62.3% | 0.19 | 0.02 | 1.1x | 11 | 25% |
| ADX / DI 방향성 period=27, threshold=12 |
-1.1% | -66.7% | 0.18 | -0.02 | 0.9x | 81 | 44% |
| Supertrend period=25, mult=4.5 |
-4.6% | -86.8% | 0.12 | -0.05 | 0.7x | 23 | 54% |
| Parabolic SAR step=0.035, maxStep=0.2 |
-7.6% | -83.9% | 0.06 | -0.09 | 0.5x | 253 | 49% |
| EMA 크로스오버 fast=25, slow=178 |
-9.4% | -89.5% | -0.06 | -0.11 | 0.4x | 19 | 41% |
| Buy and hold | -1.1% | -88.0% | 0.31 | -0.01 | 0.9x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 16-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 16-day middle average