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 6.2%, MDD -14.1%).
Results by strategy
6 of 10 beat buy and hold (CAGR -3.0%, drawdown -88.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 6.2%, MDD -14.1%, Sharpe 0.56, 2% exposure.
CAGR reference leader: MACD — CAGR 10.2%, MDD -55.7%, exposure 49%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 9.1%p higher than buy and hold, while drawdown improves by 73.9%p (CAGR 6.2%, 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 |
6.2% | -14.1% | 0.56 | 0.44 | 1.6x | 6 | 2% |
| MACD fast=14, slow=24, signal=15 |
10.2% | -55.7% | 0.44 | 0.18 | 2.2x | 104 | 49% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=17, mult=1.9 |
7.0% | -39.8% | 0.39 | 0.18 | 1.7x | 38 | 15% |
| SMA 크로스오버 fast=28, slow=32 |
4.7% | -72.8% | 0.32 | 0.06 | 1.5x | 117 | 47% |
| ROC 모멘텀 n=37, threshold=0 |
0.4% | -69.6% | 0.23 | 0.01 | 1.0x | 145 | 47% |
| ADX / DI 방향성 period=27, threshold=12 |
-3.0% | -66.7% | 0.14 | -0.05 | 0.8x | 81 | 44% |
| Donchian 채널 돌파 entryN=108, exitN=25 |
-0.6% | -62.3% | 0.13 | -0.01 | 1.0x | 11 | 25% |
| Supertrend period=25, mult=4.5 |
-6.4% | -86.8% | 0.08 | -0.07 | 0.6x | 23 | 53% |
| Parabolic SAR step=0.035, maxStep=0.2 |
-7.6% | -83.9% | 0.06 | -0.09 | 0.5x | 250 | 48% |
| EMA 크로스오버 fast=25, slow=178 |
-11.3% | -89.5% | -0.12 | -0.13 | 0.4x | 19 | 40% |
| Buy and hold | -3.0% | -88.0% | 0.28 | -0.03 | 0.8x | 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