Trend-Following Backtester · Guide · backtest 한국어
equity · US
10x Genomics, Inc. backtest
10 trend-following strategies were compared on the full daily history of 10x Genomics, Inc.. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 47.2%, MDD -40.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR 2.4%, drawdown -96.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 47.2%, MDD -40.0%, Sharpe 1.15, 47% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 44.8%p higher than buy and hold, while drawdown improves by 56.5%p (CAGR 47.2%, MDD -40.0%, exposure 47%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=47, slow=126 |
47.2% | -40.0% | 1.15 | 1.18 | 14.8x | 11 | 47% |
| ROC 모멘텀 n=123, threshold=0.08 |
40.5% | -41.2% | 1.06 | 0.98 | 10.7x | 29 | 42% |
| EMA 크로스오버 fast=52, slow=133 |
34.9% | -57.2% | 0.95 | 0.61 | 8.0x | 9 | 46% |
| Donchian 채널 돌파 entryN=45, exitN=64 |
37.6% | -55.8% | 0.91 | 0.67 | 9.2x | 9 | 55% |
| ADX / DI 방향성 period=16, threshold=10 |
32.8% | -57.5% | 0.85 | 0.57 | 7.2x | 101 | 54% |
| Supertrend period=11, mult=5 |
32.1% | -62.7% | 0.85 | 0.51 | 7.0x | 17 | 49% |
| 볼린저 밴드 돌파 n=45, k=1.8 |
24.4% | -43.2% | 0.78 | 0.57 | 4.6x | 29 | 37% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=14, mult=1.3 |
20.4% | -55.5% | 0.67 | 0.37 | 3.6x | 43 | 43% |
| Parabolic SAR step=0.025, maxStep=0.28 |
12.4% | -73.6% | 0.48 | 0.17 | 2.3x | 166 | 52% |
| MACD fast=13, slow=25, signal=16 |
-4.8% | -93.1% | 0.14 | -0.05 | 0.7x | 103 | 55% |
| Buy and hold | 2.4% | -96.5% | 0.37 | 0.02 | 1.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 47-day average price crosses above the 126-day average
- Sell — Sell (to cash) when the 47-day average falls below the 126-day average