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; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 26.4%, MDD -64.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -7.2%, drawdown -98.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 32.4%, MDD -69.5%, Sharpe 0.74, 35% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 39.5%p higher than buy and hold, while drawdown improves by 28.7%p (CAGR 26.4%, MDD -64.0%, exposure 36%).
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=11, slow=161 |
32.4% | -69.5% | 0.74 | 0.47 | 7.5x | 11 | 35% |
| 볼린저 밴드 돌파 n=47, k=1.4 |
28.7% | -68.6% | 0.70 | 0.42 | 6.1x | 33 | 31% |
| Donchian 채널 돌파 entryN=38, exitN=26 |
27.8% | -82.4% | 0.69 | 0.34 | 5.8x | 19 | 34% |
| SMA 크로스오버 fast=49, slow=209 |
26.4% | -64.0% | 0.67 | 0.41 | 5.4x | 7 | 36% |
| ROC 모멘텀 n=107, threshold=0.01 |
26.0% | -86.8% | 0.66 | 0.30 | 5.3x | 55 | 41% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=16, mult=2.2 |
20.8% | -75.9% | 0.60 | 0.27 | 3.9x | 25 | 29% |
| ADX / DI 방향성 period=9, threshold=39 |
18.2% | -69.4% | 0.58 | 0.26 | 3.3x | 37 | 14% |
| Supertrend period=24, mult=3 |
15.6% | -86.1% | 0.53 | 0.18 | 2.8x | 43 | 39% |
| MACD fast=15, slow=26, signal=14 |
6.7% | -91.3% | 0.45 | 0.07 | 1.6x | 99 | 52% |
| Parabolic SAR step=0.03, maxStep=0.24 |
-2.7% | -90.6% | 0.30 | -0.03 | 0.8x | 201 | 46% |
| Buy and hold | -7.2% | -98.2% | 0.39 | -0.07 | 0.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 11-day EMA crosses above the 161-day EMA
- Sell — Sell when the 11-day EMA falls below the 161-day EMA