Trend-Following Backtester · Guide · backtest 한국어
equity · US
ProKidney Corp. backtest
10 trend-following strategies were compared on the full daily history of ProKidney Corp.. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR -0.8%, MDD -51.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR -31.0%, drawdown -96.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 15.7%, MDD -67.7%, Sharpe 0.41, 18% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 46.7%p higher than buy and hold, while drawdown improves by 28.6%p (CAGR -0.8%, MDD -51.1%, exposure 5%).
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=60, threshold=0.13 |
15.7% | -67.7% | 0.41 | 0.23 | 2.1x | 40 | 18% |
| SMA 크로스오버 fast=26, slow=44 |
-10.6% | -80.2% | 0.31 | -0.13 | 0.6x | 36 | 40% |
| Donchian 채널 돌파 entryN=22, exitN=67 |
-17.2% | -83.5% | 0.31 | -0.21 | 0.4x | 18 | 49% |
| ADX / DI 방향성 period=6, threshold=22 |
-13.6% | -87.7% | 0.30 | -0.16 | 0.5x | 150 | 41% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=15, mult=2.5 |
-0.8% | -51.1% | 0.16 | -0.02 | 1.0x | 6 | 5% |
| 볼린저 밴드 돌파 n=52, k=3.1 |
-6.3% | -65.7% | 0.05 | -0.10 | 0.7x | 4 | 6% |
| Supertrend period=20, mult=4.6 |
-14.2% | -54.9% | -0.07 | -0.26 | 0.5x | 12 | 35% |
| MACD fast=16, slow=49, signal=18 |
-33.1% | -87.1% | -0.18 | -0.38 | 0.1x | 60 | 52% |
| EMA 크로스오버 fast=26, slow=68 |
-23.7% | -75.7% | -0.19 | -0.31 | 0.3x | 16 | 33% |
| Parabolic SAR step=0.03, maxStep=0.36 |
-52.9% | -97.8% | -0.84 | -0.54 | 0.0x | 134 | 49% |
| Buy and hold | -31.0% | -96.3% | 0.31 | -0.32 | 0.2x | 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 60-day return is greater than 13%
- Sell — Sell when the 60-day return drops to 13% or below