Trend-Following Backtester · Guide · backtest 한국어
equity · US
MiMedx Group, Inc backtest
10 trend-following strategies were compared on the full daily history of MiMedx Group, Inc. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 6.4%, MDD -39.4%).
Results by strategy
6 of 10 beat buy and hold (CAGR -0.7%, drawdown -93.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.4%, MDD -68.8%, Sharpe 0.46, 50% exposure.
CAGR reference leader: Parabolic SAR — CAGR 10.6%, MDD -78.3%, exposure 47%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 11.1%p higher than buy and hold, while drawdown improves by 25.0%p (CAGR 6.4%, MDD -39.4%, exposure 11%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=72, slow=213 |
10.4% | -68.8% | 0.46 | 0.15 | 6.2x | 24 | 50% |
| Parabolic SAR step=0.005, maxStep=0.06 |
10.6% | -78.3% | 0.46 | 0.13 | 6.4x | 122 | 47% |
| Donchian 채널 돌파 entryN=68, exitN=75 |
9.6% | -73.0% | 0.45 | 0.13 | 5.4x | 25 | 52% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=23, mult=3.9 |
6.4% | -39.4% | 0.40 | 0.16 | 3.1x | 32 | 11% |
| 볼린저 밴드 돌파 n=35, k=3.3 |
5.2% | -59.6% | 0.34 | 0.09 | 2.5x | 34 | 12% |
| ROC 모멘텀 n=148, threshold=0.14 |
3.8% | -75.6% | 0.31 | 0.05 | 2.0x | 132 | 39% |
| MACD fast=15, slow=46, signal=22 |
-3.7% | -93.7% | 0.24 | -0.04 | 0.5x | 179 | 49% |
| EMA 크로스오버 fast=8, slow=81 |
-1.0% | -83.7% | 0.23 | -0.01 | 0.8x | 87 | 48% |
| ADX / DI 방향성 period=11, threshold=20 |
-0.8% | -87.5% | 0.23 | -0.01 | 0.9x | 286 | 37% |
| Supertrend period=32, mult=4.2 |
-2.9% | -90.5% | 0.20 | -0.03 | 0.6x | 73 | 47% |
| Buy and hold | -0.7% | -93.8% | 0.41 | -0.01 | 0.9x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 72-day average price crosses above the 213-day average
- Sell — Sell (to cash) when the 72-day average falls below the 213-day average