Trend-Following Backtester · Guide · backtest 한국어
equity · US
Immunome, Inc. backtest
10 trend-following strategies were compared on the full daily history of Immunome, Inc.. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 31.3%, MDD -32.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR 12.7%, drawdown -94.9%).
Sharpe leader (same as main): Supertrend — CAGR 59.1%, MDD -56.3%, Sharpe 1.01, 49% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 46.4%p higher than buy and hold, while drawdown improves by 38.6%p (CAGR 31.3%, MDD -32.6%, exposure 25%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=29, mult=4.6 |
59.1% | -56.3% | 1.01 | 1.05 | 15.6x | 13 | 49% |
| SMA 크로스오버 fast=30, slow=218 |
42.3% | -59.1% | 0.95 | 0.72 | 8.1x | 5 | 43% |
| Donchian 채널 돌파 entryN=119, exitN=45 |
31.3% | -32.6% | 0.86 | 0.96 | 5.0x | 5 | 25% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=27, mult=3 |
32.5% | -36.6% | 0.76 | 0.89 | 5.3x | 10 | 9% |
| ROC 모멘텀 n=35, threshold=0.13 |
34.8% | -67.7% | 0.75 | 0.51 | 5.8x | 99 | 35% |
| Parabolic SAR step=0.03, maxStep=0.2 |
34.2% | -56.1% | 0.74 | 0.61 | 5.7x | 160 | 45% |
| 볼린저 밴드 돌파 n=32, k=1.7 |
33.4% | -63.3% | 0.73 | 0.53 | 5.5x | 37 | 33% |
| ADX / DI 방향성 period=10, threshold=33 |
28.9% | -57.9% | 0.69 | 0.50 | 4.5x | 37 | 20% |
| EMA 크로스오버 fast=30, slow=56 |
25.6% | -75.9% | 0.64 | 0.34 | 3.8x | 17 | 52% |
| MACD fast=7, slow=29, signal=12 |
17.6% | -79.6% | 0.55 | 0.22 | 2.6x | 118 | 48% |
| Buy and hold | 12.7% | -94.9% | 0.58 | 0.13 | 2.0x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 29-day volatility, 4.6× band
- Sell — Sell when price drops below the trend line (flips down)