Trend-Following Backtester · Guide · backtest 한국어
equity · US
GeneDx Holdings Corp. backtest
10 trend-following strategies were compared on the full daily history of GeneDx Holdings Corp.. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 62.0%, MDD -49.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR -24.4%, drawdown -99.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 74.0%, MDD -51.8%, Sharpe 1.17, 33% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 80.2%, MDD -65.2%, exposure 33%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 98.5%p higher than buy and hold, while drawdown improves by 48.0%p (CAGR 62.0%, MDD -49.7%, exposure 35%).
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=22, slow=110 |
74.0% | -51.8% | 1.17 | 1.43 | 24.0x | 7 | 33% |
| ADX / DI 방향성 period=30, threshold=15 |
80.2% | -65.2% | 1.16 | 1.23 | 29.3x | 32 | 33% |
| EMA 크로스오버 fast=37, slow=59 |
74.4% | -55.9% | 1.14 | 1.33 | 24.3x | 6 | 36% |
| Donchian 채널 돌파 entryN=69, exitN=133 |
64.6% | -53.1% | 1.07 | 1.22 | 17.4x | 2 | 37% |
| Supertrend period=14, mult=3.3 |
70.7% | -75.5% | 1.07 | 0.94 | 21.5x | 17 | 42% |
| ROC 모멘텀 n=102, threshold=-0.04 |
62.0% | -49.7% | 1.06 | 1.25 | 15.9x | 14 | 35% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=16, mult=3.1 |
51.4% | -54.9% | 0.97 | 0.94 | 10.8x | 12 | 25% |
| 볼린저 밴드 돌파 n=58, k=1.9 |
48.2% | -67.1% | 0.93 | 0.72 | 9.6x | 14 | 28% |
| Parabolic SAR step=0.025, maxStep=0.16 |
-9.6% | -96.7% | 0.25 | -0.10 | 0.6x | 139 | 46% |
| MACD fast=17, slow=29, signal=9 |
-28.0% | -97.8% | 0.05 | -0.29 | 0.2x | 86 | 54% |
| Buy and hold | -24.4% | -99.9% | 0.26 | -0.24 | 0.2x | 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 22-day average price crosses above the 110-day average
- Sell — Sell (to cash) when the 22-day average falls below the 110-day average