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; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 25.2%, MDD -41.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR 18.4%, drawdown -73.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 25.2%, MDD -41.3%, Sharpe 0.87, 19% exposure.
CAGR reference leader: MACD — CAGR 35.7%, MDD -58.0%, exposure 51%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.7%p higher than buy and hold, while drawdown improves by 32.4%p (CAGR 25.2%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=27, k=2.8 |
25.2% | -41.3% | 0.87 | 0.61 | 5.1x | 18 | 19% |
| MACD fast=19, slow=59, signal=16 |
35.7% | -58.0% | 0.83 | 0.62 | 9.2x | 71 | 51% |
| Donchian 채널 돌파 entryN=72, exitN=77 |
33.8% | -56.8% | 0.81 | 0.59 | 8.2x | 8 | 57% |
| ADX / DI 방향성 period=39, threshold=10 |
29.8% | -58.2% | 0.77 | 0.51 | 6.6x | 46 | 57% |
| ROC 모멘텀 n=92, threshold=0.02 |
28.9% | -54.8% | 0.75 | 0.53 | 6.3x | 40 | 51% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=8, mult=3.2 |
17.9% | -41.5% | 0.72 | 0.43 | 3.3x | 14 | 16% |
| Supertrend period=19, mult=5 |
23.9% | -52.7% | 0.67 | 0.45 | 4.7x | 16 | 56% |
| EMA 크로스오버 fast=35, slow=109 |
23.2% | -66.9% | 0.65 | 0.35 | 4.5x | 12 | 57% |
| SMA 크로스오버 fast=17, slow=96 |
22.7% | -62.8% | 0.65 | 0.36 | 4.4x | 26 | 55% |
| Parabolic SAR step=0.005, maxStep=0.36 |
15.4% | -61.0% | 0.52 | 0.25 | 2.8x | 63 | 57% |
| Buy and hold | 18.4% | -73.7% | 0.58 | 0.25 | 3.4x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 27-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 27-day middle average