Trend-Following Backtester · Guide · backtest 한국어
equity · US
Personalis, Inc. backtest
10 trend-following strategies were compared on the full daily history of Personalis, Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 21.8%, MDD -64.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -10.8%, drawdown -98.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 28.0%, MDD -68.6%, Sharpe 0.69, 31% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 38.9%p higher than buy and hold, while drawdown improves by 29.5%p (CAGR 21.8%, MDD -64.0%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=47, k=1.4 |
28.0% | -68.6% | 0.69 | 0.41 | 5.8x | 32 | 31% |
| EMA 크로스오버 fast=11, slow=161 |
27.7% | -69.5% | 0.68 | 0.40 | 5.7x | 11 | 35% |
| Donchian 채널 돌파 entryN=38, exitN=26 |
23.2% | -82.4% | 0.63 | 0.28 | 4.4x | 19 | 34% |
| ADX / DI 방향성 period=9, threshold=39 |
20.1% | -69.4% | 0.61 | 0.29 | 3.7x | 36 | 14% |
| SMA 크로스오버 fast=49, slow=209 |
21.8% | -64.0% | 0.61 | 0.34 | 4.1x | 7 | 35% |
| ROC 모멘텀 n=107, threshold=0.01 |
21.4% | -86.8% | 0.61 | 0.25 | 4.0x | 55 | 40% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=16, mult=2.2 |
16.4% | -75.9% | 0.54 | 0.22 | 2.9x | 25 | 28% |
| Supertrend period=24, mult=3 |
14.9% | -86.1% | 0.52 | 0.17 | 2.7x | 42 | 39% |
| MACD fast=15, slow=26, signal=14 |
6.6% | -91.3% | 0.45 | 0.07 | 1.6x | 96 | 52% |
| Parabolic SAR step=0.03, maxStep=0.24 |
-4.6% | -90.6% | 0.27 | -0.05 | 0.7x | 198 | 46% |
| Buy and hold | -10.8% | -98.2% | 0.35 | -0.11 | 0.4x | 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 47-day average (1.4× volatility)
- Sell — Sell when the close falls back to the 47-day middle average