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 12.1%, MDD -45.7%).
Results by strategy
5 of 10 beat buy and hold (CAGR 11.8%, drawdown -87.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.1%, MDD -45.7%, Sharpe 0.63, 20% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 18.7%, MDD -63.3%, exposure 53%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 41.2%p (CAGR 12.1%, MDD -45.7%, exposure 20%).
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 |
12.1% | -45.7% | 0.63 | 0.27 | 2.2x | 12 | 20% |
| SMA 크로스오버 fast=51, slow=58 |
18.7% | -63.3% | 0.63 | 0.30 | 3.4x | 43 | 53% |
| EMA 크로스오버 fast=27, slow=36 |
18.4% | -71.0% | 0.61 | 0.26 | 3.3x | 29 | 52% |
| Parabolic SAR step=0.01, maxStep=0.12 |
17.3% | -69.3% | 0.59 | 0.25 | 3.1x | 86 | 50% |
| Supertrend period=17, mult=4.4 |
14.4% | -74.3% | 0.53 | 0.19 | 2.6x | 25 | 50% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=11, mult=3.2 |
10.9% | -50.5% | 0.49 | 0.22 | 2.1x | 17 | 24% |
| 볼린저 밴드 돌파 n=59, k=1.7 |
8.8% | -62.3% | 0.42 | 0.14 | 1.8x | 31 | 37% |
| ROC 모멘텀 n=84, threshold=0.11 |
8.7% | -58.3% | 0.41 | 0.15 | 1.8x | 66 | 34% |
| ADX / DI 방향성 period=25, threshold=19 |
6.1% | -46.2% | 0.35 | 0.13 | 1.5x | 32 | 15% |
| MACD fast=16, slow=48, signal=13 |
-0.6% | -64.4% | 0.19 | -0.01 | 1.0x | 82 | 54% |
| Buy and hold | 11.8% | -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