Trend-Following Backtester · Guide · backtest 한국어
equity · US
TransMedics Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of TransMedics Group, Inc.. 8 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 24.1%, MDD -41.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR 19.9%, drawdown -73.7%).
Sharpe leader (same as main): MACD — CAGR 37.2%, MDD -58.0%, Sharpe 0.86, 51% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 17.3%p higher than buy and hold, while drawdown improves by 15.7%p (CAGR 24.1%, MDD -41.3%, exposure 19%).
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=19, slow=59, signal=16 |
37.2% | -58.0% | 0.86 | 0.64 | 10.2x | 71 | 51% |
| 볼린저 밴드 돌파 n=27, k=2.8 |
24.1% | -41.3% | 0.84 | 0.58 | 4.9x | 19 | 19% |
| Donchian 채널 돌파 entryN=72, exitN=77 |
31.4% | -56.8% | 0.78 | 0.55 | 7.4x | 9 | 56% |
| ADX / DI 방향성 period=39, threshold=10 |
28.2% | -58.2% | 0.75 | 0.48 | 6.2x | 49 | 57% |
| ROC 모멘텀 n=92, threshold=0.02 |
28.5% | -54.8% | 0.75 | 0.52 | 6.3x | 40 | 50% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=8, mult=3.2 |
17.7% | -41.5% | 0.72 | 0.43 | 3.3x | 14 | 16% |
| EMA 크로스오버 fast=35, slow=109 |
22.9% | -66.9% | 0.65 | 0.34 | 4.5x | 12 | 56% |
| Supertrend period=19, mult=5 |
22.4% | -52.7% | 0.64 | 0.43 | 4.4x | 17 | 55% |
| SMA 크로스오버 fast=17, slow=96 |
21.3% | -62.8% | 0.62 | 0.34 | 4.1x | 27 | 55% |
| Parabolic SAR step=0.005, maxStep=0.36 |
16.9% | -61.0% | 0.55 | 0.28 | 3.1x | 63 | 57% |
| Buy and hold | 19.9% | -73.7% | 0.60 | 0.27 | 3.8x | 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 (19/59) crosses above its 16-day signal line
- Sell — Sell when the MACD line crosses back below the signal line