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. 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 3.8%, MDD -12.4%).
Results by strategy
6 of 10 beat buy and hold (CAGR 2.3%, drawdown -54.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.8%, MDD -12.4%, Sharpe 0.54, 6% exposure.
CAGR reference leader: Supertrend — CAGR 8.5%, MDD -28.5%, exposure 59%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 42.2%p (CAGR 3.8%, MDD -12.4%, exposure 6%).
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=9, k=2.5 |
3.8% | -12.4% | 0.54 | 0.31 | 1.3x | 20 | 6% |
| Supertrend period=29, mult=4.6 |
8.5% | -28.5% | 0.48 | 0.30 | 1.8x | 18 | 59% |
| SMA 크로스오버 fast=62, slow=167 |
8.0% | -39.5% | 0.46 | 0.20 | 1.8x | 10 | 57% |
| EMA 크로스오버 fast=46, slow=70 |
6.3% | -38.9% | 0.39 | 0.16 | 1.6x | 12 | 57% |
| Donchian 채널 돌파 entryN=88, exitN=52 |
5.0% | -33.7% | 0.35 | 0.15 | 1.4x | 10 | 43% |
| ROC 모멘텀 n=149, threshold=0 |
4.1% | -40.0% | 0.30 | 0.10 | 1.4x | 44 | 55% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=27, mult=3.2 |
0.1% | -6.9% | 0.05 | 0.02 | 1.0x | 4 | 2% |
| MACD fast=8, slow=16, signal=12 |
-4.4% | -53.6% | -0.07 | -0.08 | 0.7x | 177 | 49% |
| ADX / DI 방향성 period=32, threshold=23 |
-0.6% | -10.4% | -0.15 | -0.06 | 1.0x | 2 | 1% |
| Parabolic SAR step=0.03, maxStep=0.14 |
-7.8% | -61.8% | -0.21 | -0.13 | 0.5x | 199 | 52% |
| Buy and hold | 2.3% | -54.6% | 0.24 | 0.04 | 1.2x | 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 9-day average (2.5× volatility)
- Sell — Sell when the close falls back to the 9-day middle average