Trend-Following Backtester · Guide · backtest 한국어

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MeiraGTx Holdings plc backtest

10 trend-following strategies were compared on the full daily history of MeiraGTx Holdings plc. 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 6.2%, MDD -14.1%).

Data 2018-06-08 ~ 2026-07-31daily bars 2,047 (8.1 years)Costs 0.5%Venue XNASMonthly snapshot 2026-07-31

Results by strategy

6 of 10 beat buy and hold (CAGR -3.0%, drawdown -88.0%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 6.2%, MDD -14.1%, Sharpe 0.56, 2% exposure.

CAGR reference leader: MACD — CAGR 10.2%, MDD -55.7%, exposure 49%.

Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 9.1%p higher than buy and hold, while drawdown improves by 73.9%p (CAGR 6.2%, MDD -14.1%, exposure 2%).

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=16, k=3.3
6.2%-14.1%0.560.441.6x62%
MACD
fast=14, slow=24, signal=15
10.2%-55.7%0.440.182.2x10449%
Keltner 채널 돌파
emaPeriod=19, atrPeriod=17, mult=1.9
7.0%-39.8%0.390.181.7x3815%
SMA 크로스오버
fast=28, slow=32
4.7%-72.8%0.320.061.5x11747%
ROC 모멘텀
n=37, threshold=0
0.4%-69.6%0.230.011.0x14547%
ADX / DI 방향성
period=27, threshold=12
-3.0%-66.7%0.14-0.050.8x8144%
Donchian 채널 돌파
entryN=108, exitN=25
-0.6%-62.3%0.13-0.011.0x1125%
Supertrend
period=25, mult=4.5
-6.4%-86.8%0.08-0.070.6x2353%
Parabolic SAR
step=0.035, maxStep=0.2
-7.6%-83.9%0.06-0.090.5x25048%
EMA 크로스오버
fast=25, slow=178
-11.3%-89.5%-0.12-0.130.4x1940%
Buy and hold-3.0%-88.0%0.28-0.030.8x1100%
1x 2019 2020 2021 2022 2023 2024 2025 2026 MACD볼린저 밴드 돌파Buy and hold
볼린저 밴드 돌파 (Sharpe leader), MACD (CAGR reference), Buy and hold.
0% -22% -44% -66% -88% 2019 2020 2021 2022 2023 2024 2025 2026 Buy and holdMACD볼린저 밴드 돌파
볼린저 밴드 돌파 maximum drawdown -14.1% (2019-03-15 → 2019-03-25), recovered after 956 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 selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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