Trend-Following Backtester · Guide · backtest 한국어
equity · US
SOPHiA GENETICS SA backtest
10 trend-following strategies were compared on the full daily history of SOPHiA GENETICS SA. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.0%, MDD -14.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR -19.5%, drawdown -91.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 18.1%, MDD -38.5%, Sharpe 0.57, 43% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 37.6%p higher than buy and hold, while drawdown improves by 52.8%p (CAGR 1.0%, MDD -14.9%, exposure 1%).
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=26, slow=77 |
18.1% | -38.5% | 0.57 | 0.47 | 2.3x | 15 | 43% |
| EMA 크로스오버 fast=44, slow=66 |
15.8% | -45.4% | 0.54 | 0.35 | 2.1x | 7 | 46% |
| Donchian 채널 돌파 entryN=36, exitN=74 |
2.6% | -64.8% | 0.34 | 0.04 | 1.1x | 9 | 58% |
| Supertrend period=12, mult=3.4 |
-1.7% | -58.9% | 0.25 | -0.03 | 0.9x | 15 | 50% |
| ROC 모멘텀 n=127, threshold=-0.02 |
-0.4% | -70.3% | 0.23 | -0.01 | 1.0x | 45 | 41% |
| 볼린저 밴드 돌파 n=15, k=3.3 |
1.0% | -14.9% | 0.14 | 0.07 | 1.1x | 2 | 1% |
| ADX / DI 방향성 period=23, threshold=16 |
-4.1% | -55.5% | 0.10 | -0.07 | 0.8x | 29 | 27% |
| MACD fast=18, slow=53, signal=24 |
-17.2% | -76.0% | -0.01 | -0.23 | 0.4x | 57 | 48% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=23, mult=2.7 |
-7.0% | -56.0% | -0.03 | -0.13 | 0.7x | 11 | 13% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-30.5% | -86.8% | -0.35 | -0.35 | 0.2x | 87 | 46% |
| Buy and hold | -19.5% | -91.4% | 0.13 | -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 26-day average price crosses above the 77-day average
- Sell — Sell (to cash) when the 26-day average falls below the 77-day average