Trend-Following Backtester · Guide · backtest 한국어
equity · US
Mirion Technologies, Inc. backtest
10 trend-following strategies were compared on the full daily history of Mirion Technologies, Inc.. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 11.7%, MDD -31.9%).
Results by strategy
4 of 10 beat buy and hold (CAGR 7.0%, drawdown -62.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.7%, MDD -31.9%, Sharpe 0.51, 51% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 12.5%, MDD -50.2%, exposure 67%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.7%p higher than buy and hold, while drawdown improves by 30.3%p (CAGR 11.7%, MDD -31.9%, exposure 51%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=16, slow=218 |
11.7% | -31.9% | 0.51 | 0.37 | 1.9x | 8 | 51% |
| Donchian 채널 돌파 entryN=30, exitN=78 |
12.5% | -50.2% | 0.51 | 0.25 | 2.0x | 10 | 67% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=9, mult=3.9 |
2.9% | -8.1% | 0.44 | 0.35 | 1.2x | 2 | 3% |
| ROC 모멘텀 n=149, threshold=0.12 |
8.4% | -31.9% | 0.42 | 0.26 | 1.6x | 36 | 40% |
| 볼린저 밴드 돌파 n=41, k=1.6 |
7.4% | -37.9% | 0.41 | 0.19 | 1.5x | 34 | 31% |
| Supertrend period=33, mult=4.4 |
6.5% | -54.2% | 0.36 | 0.12 | 1.5x | 20 | 38% |
| SMA 크로스오버 fast=44, slow=207 |
6.4% | -37.6% | 0.35 | 0.17 | 1.4x | 6 | 52% |
| ADX / DI 방향성 period=15, threshold=25 |
4.3% | -36.4% | 0.32 | 0.12 | 1.3x | 36 | 25% |
| MACD fast=22, slow=37, signal=20 |
-3.1% | -54.2% | 0.06 | -0.06 | 0.8x | 64 | 48% |
| Parabolic SAR step=0.045, maxStep=0.14 |
-9.3% | -56.1% | -0.14 | -0.17 | 0.6x | 170 | 52% |
| Buy and hold | 7.0% | -62.2% | 0.38 | 0.11 | 1.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 16-day EMA crosses above the 218-day EMA
- Sell — Sell when the 16-day EMA falls below the 218-day EMA