Trend-Following Backtester · Guide · backtest 한국어
equity · US
Impinj, Inc. backtest
10 trend-following strategies were compared on the full daily history of Impinj, Inc.. 6 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 26.3%, MDD -41.2%).
Results by strategy
6 of 10 beat buy and hold (CAGR 25.1%, drawdown -81.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 36.4%, MDD -64.0%, Sharpe 0.86, 53% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 11.3%p higher than buy and hold, while drawdown improves by 17.3%p (CAGR 26.3%, MDD -41.2%, exposure 40%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=14, threshold=11 |
36.4% | -64.0% | 0.86 | 0.57 | 23.1x | 179 | 53% |
| EMA 크로스오버 fast=11, slow=24 |
32.6% | -59.5% | 0.80 | 0.55 | 17.4x | 71 | 55% |
| Supertrend period=27, mult=3.3 |
30.3% | -65.6% | 0.78 | 0.46 | 14.6x | 53 | 50% |
| SMA 크로스오버 fast=50, slow=100 |
28.2% | -49.1% | 0.74 | 0.57 | 12.3x | 23 | 53% |
| 볼린저 밴드 돌파 n=13, k=1.5 |
26.3% | -41.2% | 0.74 | 0.64 | 10.6x | 170 | 40% |
| MACD fast=18, slow=23, signal=7 |
25.7% | -56.0% | 0.71 | 0.46 | 10.1x | 164 | 53% |
| Donchian 채널 돌파 entryN=17, exitN=52 |
23.7% | -86.6% | 0.66 | 0.27 | 8.6x | 35 | 73% |
| ROC 모멘텀 n=18, threshold=0.07 |
21.1% | -53.2% | 0.66 | 0.40 | 6.9x | 236 | 40% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=12, mult=1.9 |
20.1% | -44.7% | 0.64 | 0.45 | 6.4x | 61 | 40% |
| Parabolic SAR step=0.03, maxStep=0.28 |
19.7% | -52.6% | 0.60 | 0.37 | 6.1x | 277 | 53% |
| Buy and hold | 25.1% | -81.4% | 0.68 | 0.31 | 9.7x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 14-day) is ≥ 11
- Sell — Sell when direction flips or the trend weakens (ADX < 11)