Trend-Following Backtester · Guide · backtest 한국어
equity · US
Intuitive Surgical, Inc. backtest
10 trend-following strategies were compared on the full daily history of Intuitive Surgical, Inc.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 24.5%, MDD -47.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 21.8%, drawdown -82.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 24.5%, MDD -47.0%, Sharpe 0.83, 70% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 35.2%p (CAGR 24.5%, MDD -47.0%, exposure 70%).
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=111, slow=237 |
24.5% | -47.0% | 0.83 | 0.52 | 307.0x | 28 | 70% |
| ROC 모멘텀 n=118, threshold=-0.08 |
18.8% | -61.4% | 0.66 | 0.31 | 90.1x | 154 | 77% |
| Supertrend period=8, mult=3.3 |
15.8% | -56.3% | 0.60 | 0.28 | 46.0x | 138 | 60% |
| ADX / DI 방향성 period=41, threshold=21 |
10.3% | -35.4% | 0.60 | 0.29 | 13.0x | 48 | 19% |
| Parabolic SAR step=0.015, maxStep=0.2 |
15.8% | -65.4% | 0.59 | 0.24 | 46.1x | 444 | 55% |
| Donchian 채널 돌파 entryN=70, exitN=52 |
13.9% | -66.8% | 0.59 | 0.21 | 29.7x | 48 | 54% |
| EMA 크로스오버 fast=22, slow=142 |
13.5% | -64.9% | 0.55 | 0.21 | 27.5x | 58 | 68% |
| 볼린저 밴드 돌파 n=84, k=1.7 |
11.3% | -69.3% | 0.53 | 0.16 | 16.4x | 78 | 46% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=17, mult=2.7 |
10.7% | -59.1% | 0.52 | 0.18 | 14.2x | 94 | 46% |
| MACD fast=5, slow=24, signal=10 |
3.4% | -64.5% | 0.26 | 0.05 | 2.4x | 671 | 48% |
| Buy and hold | 21.8% | -82.3% | 0.65 | 0.27 | 173.4x | 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 111-day average price crosses above the 237-day average
- Sell — Sell (to cash) when the 111-day average falls below the 237-day average