Trend-Following Backtester · Guide · backtest 한국어
equity · US
Merit Medical Systems, Inc. backtest
10 trend-following strategies were compared on the full daily history of Merit Medical Systems, Inc.. 0 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 13.5%, MDD -57.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.8%, drawdown -80.7%).
Sharpe leader (same as main): MACD — CAGR 13.5%, MDD -57.5%, Sharpe 0.53, 52% exposure.
Return/drawdown alternative: MACD — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 23.3%p (CAGR 13.5%, MDD -57.5%, exposure 52%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=27, slow=43, signal=30 |
13.5% | -57.5% | 0.53 | 0.23 | 97.9x | 251 | 52% |
| Parabolic SAR step=0.02, maxStep=0.04 |
8.1% | -70.9% | 0.40 | 0.11 | 16.7x | 417 | 55% |
| Donchian 채널 돌파 entryN=25, exitN=65 |
7.8% | -85.8% | 0.39 | 0.09 | 15.3x | 91 | 71% |
| ADX / DI 방향성 period=25, threshold=37 |
3.8% | -33.7% | 0.38 | 0.11 | 3.8x | 16 | 4% |
| Supertrend period=13, mult=2.8 |
7.2% | -79.0% | 0.37 | 0.09 | 12.3x | 223 | 51% |
| 볼린저 밴드 돌파 n=25, k=1.9 |
6.5% | -79.1% | 0.36 | 0.08 | 9.7x | 289 | 34% |
| SMA 크로스오버 fast=58, slow=189 |
6.2% | -89.6% | 0.35 | 0.07 | 8.8x | 53 | 53% |
| EMA 크로스오버 fast=49, slow=171 |
4.7% | -83.2% | 0.31 | 0.06 | 5.3x | 65 | 54% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=12, mult=3.7 |
2.9% | -40.3% | 0.26 | 0.07 | 2.8x | 65 | 15% |
| ROC 모멘텀 n=106, threshold=0.05 |
-2.9% | -97.2% | 0.09 | -0.03 | 0.3x | 385 | 49% |
| Buy and hold | 13.8% | -80.7% | 0.51 | 0.17 | 107.4x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (27/43) crosses above its 30-day signal line
- Sell — Sell when the MACD line crosses back below the signal line