Trend-Following Backtester · Guide · backtest 한국어
equity · US
DENTSPLY SIRONA Inc. backtest
10 trend-following strategies were compared on the full daily history of DENTSPLY SIRONA Inc.. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.7%, MDD -48.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.5%, drawdown -86.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.8%, MDD -50.3%, Sharpe 0.46, 63% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 35.7%p (CAGR 7.7%, MDD -48.2%, exposure 61%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=58, slow=100 |
8.8% | -50.3% | 0.46 | 0.17 | 26.7x | 51 | 63% |
| SMA 크로스오버 fast=25, slow=179 |
7.7% | -48.2% | 0.43 | 0.16 | 18.1x | 61 | 61% |
| Donchian 채널 돌파 entryN=86, exitN=70 |
5.5% | -58.9% | 0.34 | 0.09 | 8.1x | 59 | 57% |
| ROC 모멘텀 n=192, threshold=-0.09 |
5.2% | -62.5% | 0.32 | 0.08 | 7.3x | 177 | 74% |
| ADX / DI 방향성 period=35, threshold=27 |
2.4% | -30.4% | 0.32 | 0.08 | 2.6x | 22 | 6% |
| Supertrend period=22, mult=4.9 |
4.5% | -60.0% | 0.30 | 0.08 | 5.6x | 108 | 59% |
| 볼린저 밴드 돌파 n=75, k=1.9 |
2.7% | -57.2% | 0.23 | 0.05 | 2.9x | 132 | 38% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=25, mult=2.4 |
0.3% | -82.2% | 0.11 | 0.00 | 1.1x | 164 | 35% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-3.6% | -95.6% | -0.02 | -0.04 | 0.2x | 322 | 56% |
| MACD fast=19, slow=65, signal=29 |
-6.7% | -97.4% | -0.15 | -0.07 | 0.1x | 392 | 51% |
| Buy and hold | 7.5% | -86.1% | 0.38 | 0.09 | 16.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 58-day EMA crosses above the 100-day EMA
- Sell — Sell when the 58-day EMA falls below the 100-day EMA