Trend-Following Backtester · Guide · backtest 한국어
equity · US
Medpace Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Medpace Holdings, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 35.5%, drawdown -42.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 24.0%, MDD -39.5%, Sharpe 0.76, 67% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 24.4%, MDD -41.6%, exposure 73%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=27, slow=154 |
24.0% | -39.5% | 0.76 | 0.61 | 8.5x | 17 | 67% |
| EMA 크로스오버 fast=58, slow=148 |
22.5% | -44.2% | 0.73 | 0.51 | 7.6x | 11 | 72% |
| Donchian 채널 돌파 entryN=45, exitN=68 |
24.4% | -41.6% | 0.73 | 0.59 | 8.8x | 17 | 73% |
| ROC 모멘텀 n=61, threshold=0.01 |
13.5% | -44.2% | 0.52 | 0.30 | 3.5x | 127 | 60% |
| 볼린저 밴드 돌파 n=47, k=2.3 |
11.4% | -50.3% | 0.50 | 0.23 | 2.9x | 39 | 34% |
| Supertrend period=14, mult=3.4 |
12.2% | -44.7% | 0.48 | 0.27 | 3.2x | 55 | 61% |
| Parabolic SAR step=0.005, maxStep=0.34 |
2.4% | -60.8% | 0.25 | 0.04 | 1.3x | 83 | 59% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=16, mult=3.5 |
3.0% | -36.8% | 0.24 | 0.08 | 1.3x | 33 | 33% |
| ADX / DI 방향성 period=35, threshold=18 |
2.8% | -44.2% | 0.24 | 0.06 | 1.3x | 35 | 25% |
| MACD fast=19, slow=50, signal=13 |
-0.7% | -67.3% | 0.18 | -0.01 | 0.9x | 123 | 53% |
| Buy and hold | 35.5% | -42.9% | 0.86 | 0.83 | 20.7x | 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 27-day average price crosses above the 154-day average
- Sell — Sell (to cash) when the 27-day average falls below the 154-day average