Trend-Following Backtester · Guide · backtest 한국어
equity · US
Medtronic plc. backtest
10 trend-following strategies were compared on the full daily history of Medtronic plc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.0%, drawdown -72.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.4%, MDD -74.2%, Sharpe 0.46, 66% exposure.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=56, slow=353 |
8.4% | -74.2% | 0.46 | 0.11 | 75.4x | 44 | 66% |
| SMA 크로스오버 fast=55, slow=218 |
8.1% | -70.4% | 0.45 | 0.11 | 63.6x | 62 | 65% |
| Donchian 채널 돌파 entryN=8, exitN=76 |
8.3% | -76.9% | 0.43 | 0.11 | 70.2x | 167 | 88% |
| ROC 모멘텀 n=146, threshold=-0.08 |
6.4% | -67.7% | 0.38 | 0.10 | 27.9x | 282 | 77% |
| Supertrend period=30, mult=5 |
4.3% | -58.3% | 0.30 | 0.07 | 9.6x | 191 | 59% |
| 볼린저 밴드 돌파 n=73, k=1.4 |
3.5% | -79.9% | 0.28 | 0.04 | 6.1x | 239 | 45% |
| ADX / DI 방향성 period=39, threshold=21 |
2.0% | -48.1% | 0.26 | 0.04 | 2.8x | 72 | 10% |
| MACD fast=18, slow=66, signal=26 |
2.5% | -75.8% | 0.22 | 0.03 | 3.8x | 453 | 52% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=14, mult=2.1 |
0.6% | -85.4% | 0.12 | 0.01 | 1.4x | 319 | 41% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-0.8% | -85.8% | 0.07 | -0.01 | 0.6x | 449 | 56% |
| Buy and hold | 11.0% | -72.8% | 0.49 | 0.15 | 256.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 56-day EMA crosses above the 353-day EMA
- Sell — Sell when the 56-day EMA falls below the 353-day EMA