Trend-Following Backtester · Guide · backtest 한국어
equity · US
Procore Technologies, Inc. backtest
10 trend-following strategies were compared on the full daily history of Procore Technologies, Inc.. 7 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -1.3%, MDD -13.3%).
Results by strategy
7 of 10 beat buy and hold (CAGR -8.8%, drawdown -63.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 0.2%, MDD -21.5%, Sharpe 0.08, 14% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.0%p higher than buy and hold, while drawdown improves by 42.4%p (CAGR -1.3%, MDD -13.3%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=29, mult=2.7 |
0.2% | -21.5% | 0.08 | 0.01 | 1.0x | 13 | 14% |
| 볼린저 밴드 돌파 n=62, k=2.8 |
-0.3% | -22.1% | 0.02 | -0.02 | 1.0x | 4 | 7% |
| ROC 모멘텀 n=74, threshold=-0.07 |
-6.6% | -43.1% | -0.05 | -0.15 | 0.7x | 49 | 55% |
| SMA 크로스오버 fast=51, slow=98 |
-5.8% | -32.5% | -0.11 | -0.18 | 0.7x | 16 | 38% |
| Donchian 채널 돌파 entryN=19, exitN=79 |
-11.0% | -61.8% | -0.11 | -0.18 | 0.5x | 17 | 69% |
| Supertrend period=14, mult=2.8 |
-8.5% | -61.1% | -0.14 | -0.14 | 0.6x | 35 | 44% |
| EMA 크로스오버 fast=18, slow=143 |
-7.0% | -37.8% | -0.19 | -0.19 | 0.7x | 14 | 36% |
| ADX / DI 방향성 period=38, threshold=17 |
-1.3% | -13.3% | -0.25 | -0.10 | 0.9x | 2 | 3% |
| Parabolic SAR step=0.015, maxStep=0.26 |
-14.6% | -64.7% | -0.35 | -0.23 | 0.4x | 99 | 48% |
| MACD fast=6, slow=43, signal=15 |
-21.5% | -80.2% | -0.56 | -0.27 | 0.3x | 99 | 50% |
| Buy and hold | -8.8% | -63.8% | 0.06 | -0.14 | 0.6x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 29-day average + 2.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 29-day average