Trend-Following Backtester · Guide · backtest 한국어
equity · US
PROCEPT BioRobotics Corporation backtest
10 trend-following strategies were compared on the full daily history of PROCEPT BioRobotics Corporation. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.6%, MDD -18.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -15.3%, drawdown -83.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 17.6%, MDD -34.6%, Sharpe 0.62, 34% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 32.9%p higher than buy and hold, while drawdown improves by 48.6%p (CAGR 1.6%, MDD -18.4%, exposure 11%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=139, threshold=0.09 |
17.6% | -34.6% | 0.62 | 0.51 | 2.3x | 22 | 34% |
| SMA 크로스오버 fast=19, slow=211 |
17.2% | -35.9% | 0.62 | 0.48 | 2.2x | 4 | 34% |
| EMA 크로스오버 fast=44, slow=163 |
14.3% | -37.7% | 0.53 | 0.38 | 2.0x | 4 | 38% |
| Donchian 채널 돌파 entryN=92, exitN=67 |
8.4% | -34.0% | 0.39 | 0.25 | 1.5x | 4 | 38% |
| Supertrend period=11, mult=1.7 |
6.5% | -53.5% | 0.36 | 0.12 | 1.4x | 50 | 49% |
| ADX / DI 방향성 period=13, threshold=23 |
3.4% | -31.8% | 0.26 | 0.11 | 1.2x | 46 | 22% |
| Parabolic SAR step=0.015, maxStep=0.34 |
0.4% | -59.8% | 0.22 | 0.01 | 1.0x | 82 | 47% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=21, mult=2.7 |
1.6% | -18.4% | 0.18 | 0.09 | 1.1x | 12 | 11% |
| 볼린저 밴드 돌파 n=24, k=2.2 |
-1.2% | -47.5% | 0.09 | -0.03 | 0.9x | 24 | 22% |
| MACD fast=16, slow=33, signal=19 |
-13.5% | -78.1% | -0.11 | -0.17 | 0.5x | 58 | 48% |
| Buy and hold | -15.3% | -83.2% | 0.06 | -0.18 | 0.4x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 139-day return is greater than 9%
- Sell — Sell when the 139-day return drops to 9% or below