Trend-Following Backtester · Guide · backtest 한국어
equity · US
InMode Ltd. backtest
10 trend-following strategies were compared on the full daily history of InMode Ltd.. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.6%, MDD -44.9%).
Results by strategy
5 of 10 beat buy and hold (CAGR 12.1%, drawdown -87.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.6%, MDD -44.9%, Sharpe 0.65, 19% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 19.2%, MDD -63.3%, exposure 53%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 42.1%p (CAGR 12.6%, MDD -44.9%, exposure 19%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=110, exitN=16 |
12.6% | -44.9% | 0.65 | 0.28 | 2.3x | 11 | 19% |
| SMA 크로스오버 fast=51, slow=58 |
19.2% | -63.3% | 0.63 | 0.30 | 3.4x | 43 | 53% |
| EMA 크로스오버 fast=27, slow=36 |
18.9% | -71.0% | 0.62 | 0.27 | 3.3x | 29 | 52% |
| Parabolic SAR step=0.01, maxStep=0.12 |
17.8% | -69.3% | 0.60 | 0.26 | 3.1x | 85 | 50% |
| Supertrend period=17, mult=4.4 |
14.8% | -74.3% | 0.54 | 0.20 | 2.6x | 25 | 49% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=11, mult=3.2 |
11.2% | -50.5% | 0.50 | 0.22 | 2.1x | 17 | 23% |
| ROC 모멘텀 n=84, threshold=0.11 |
9.5% | -56.4% | 0.44 | 0.17 | 1.9x | 59 | 34% |
| 볼린저 밴드 돌파 n=59, k=1.7 |
9.1% | -62.3% | 0.42 | 0.15 | 1.8x | 31 | 36% |
| ADX / DI 방향성 period=25, threshold=19 |
6.5% | -45.0% | 0.37 | 0.15 | 1.6x | 29 | 15% |
| MACD fast=16, slow=48, signal=13 |
-0.5% | -64.4% | 0.19 | -0.01 | 1.0x | 81 | 54% |
| Buy and hold | 12.1% | -87.0% | 0.49 | 0.14 | 2.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 110 days
- Sell — Sell when price breaks below the lowest low of the last 16 days