Trend-Following Backtester · Guide · backtest 한국어

equity · US

TransMedics Group, Inc. backtest

10 trend-following strategies were compared on the full daily history of TransMedics Group, Inc.. 8 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 25.2%, MDD -41.3%).

Data 2019-05-02 ~ 2026-07-31daily bars 1,822 (7.2 years)Costs 0.5%Venue XNASMonthly snapshot 2026-07-31

Results by strategy

8 of 10 beat buy and hold (CAGR 18.4%, drawdown -73.7%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 25.2%, MDD -41.3%, Sharpe 0.87, 19% exposure.

CAGR reference leader: MACD — CAGR 35.7%, MDD -58.0%, exposure 51%.

Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.7%p higher than buy and hold, while drawdown improves by 32.4%p (CAGR 25.2%, MDD -41.3%, exposure 19%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
볼린저 밴드 돌파
n=27, k=2.8
25.2%-41.3%0.870.615.1x1819%
MACD
fast=19, slow=59, signal=16
35.7%-58.0%0.830.629.2x7151%
Donchian 채널 돌파
entryN=72, exitN=77
33.8%-56.8%0.810.598.2x857%
ADX / DI 방향성
period=39, threshold=10
29.8%-58.2%0.770.516.6x4657%
ROC 모멘텀
n=92, threshold=0.02
28.9%-54.8%0.750.536.3x4051%
Keltner 채널 돌파
emaPeriod=30, atrPeriod=8, mult=3.2
17.9%-41.5%0.720.433.3x1416%
Supertrend
period=19, mult=5
23.9%-52.7%0.670.454.7x1656%
EMA 크로스오버
fast=35, slow=109
23.2%-66.9%0.650.354.5x1257%
SMA 크로스오버
fast=17, slow=96
22.7%-62.8%0.650.364.4x2655%
Parabolic SAR
step=0.005, maxStep=0.36
15.4%-61.0%0.520.252.8x6357%
Buy and hold18.4%-73.7%0.580.253.4x1100%
1x 10x 2020 2021 2022 2023 2024 2025 2026 MACD볼린저 밴드 돌파Buy and hold
볼린저 밴드 돌파 (Sharpe leader), MACD (CAGR reference), Buy and hold.
0% -18% -37% -55% -74% 2020 2021 2022 2023 2024 2025 2026 Buy and holdMACD볼린저 밴드 돌파
볼린저 밴드 돌파 maximum drawdown -41.3% (2022-12-02 → 2024-01-17), recovered after 889 days.

Rules of the top strategy

Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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