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 25.3%, MDD -41.2%).
Results by strategy
6 of 10 beat buy and hold (CAGR 23.6%, drawdown -81.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 34.9%, MDD -64.0%, Sharpe 0.84, 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 25.3%, 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 |
34.9% | -64.0% | 0.84 | 0.54 | 20.1x | 179 | 53% |
| EMA 크로스오버 fast=11, slow=24 |
31.1% | -59.5% | 0.78 | 0.52 | 15.1x | 70 | 54% |
| Supertrend period=27, mult=3.3 |
29.7% | -65.6% | 0.77 | 0.45 | 13.6x | 52 | 50% |
| 볼린저 밴드 돌파 n=13, k=1.5 |
25.3% | -41.2% | 0.72 | 0.61 | 9.6x | 169 | 40% |
| SMA 크로스오버 fast=50, slow=100 |
26.6% | -49.1% | 0.72 | 0.54 | 10.7x | 23 | 53% |
| MACD fast=18, slow=23, signal=7 |
24.9% | -56.0% | 0.69 | 0.45 | 9.3x | 163 | 53% |
| ROC 모멘텀 n=18, threshold=0.07 |
20.8% | -53.2% | 0.66 | 0.39 | 6.7x | 234 | 40% |
| Donchian 채널 돌파 entryN=17, exitN=52 |
22.2% | -86.6% | 0.64 | 0.26 | 7.5x | 35 | 73% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=12, mult=1.9 |
19.4% | -44.7% | 0.63 | 0.43 | 5.9x | 60 | 39% |
| Parabolic SAR step=0.03, maxStep=0.28 |
18.4% | -52.6% | 0.58 | 0.35 | 5.4x | 275 | 53% |
| Buy and hold | 23.6% | -81.4% | 0.66 | 0.29 | 8.4x | 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)