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 63.3%, MDD -49.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR -20.6%, drawdown -99.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 80.6%, MDD -51.8%, Sharpe 1.23, 34% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 101.2%p higher than buy and hold, while drawdown improves by 48.0%p (CAGR 63.3%, 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 |
80.6% | -51.8% | 1.23 | 1.56 | 31.2x | 7 | 34% |
| EMA 크로스오버 fast=37, slow=59 |
78.2% | -55.9% | 1.17 | 1.40 | 28.9x | 7 | 37% |
| ADX / DI 방향성 period=30, threshold=15 |
80.6% | -65.2% | 1.17 | 1.24 | 31.2x | 33 | 33% |
| Supertrend period=14, mult=3.3 |
77.3% | -75.5% | 1.12 | 1.02 | 28.0x | 17 | 43% |
| ROC 모멘텀 n=102, threshold=-0.04 |
63.3% | -49.7% | 1.08 | 1.28 | 17.4x | 15 | 35% |
| Donchian 채널 돌파 entryN=69, exitN=133 |
64.3% | -56.4% | 1.07 | 1.14 | 18.0x | 3 | 37% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=16, mult=3.1 |
51.1% | -54.9% | 0.97 | 0.93 | 11.0x | 13 | 25% |
| 볼린저 밴드 돌파 n=58, k=1.9 |
49.7% | -67.1% | 0.95 | 0.74 | 10.5x | 15 | 28% |
| Parabolic SAR step=0.025, maxStep=0.16 |
-6.7% | -96.7% | 0.29 | -0.07 | 0.7x | 141 | 47% |
| MACD fast=17, slow=29, signal=9 |
-24.9% | -97.8% | 0.09 | -0.25 | 0.2x | 87 | 55% |
| Buy and hold | -20.6% | -99.9% | 0.31 | -0.21 | 0.3x | 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