Trend-Following Backtester · Guide · backtest 한국어
equity · US
Danaher Corporation backtest
10 trend-following strategies were compared on the full daily history of Danaher Corporation. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 17.9%, drawdown -65.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 13.3%, MDD -54.1%, Sharpe 0.60, 80% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=28, slow=362 |
13.3% | -54.1% | 0.60 | 0.24 | 373.2x | 48 | 80% |
| Donchian 채널 돌파 entryN=18, exitN=79 |
12.7% | -63.2% | 0.55 | 0.20 | 290.3x | 113 | 86% |
| Supertrend period=26, mult=4.8 |
9.2% | -58.7% | 0.48 | 0.16 | 67.2x | 174 | 62% |
| SMA 크로스오버 fast=16, slow=90 |
9.4% | -52.1% | 0.48 | 0.18 | 71.2x | 175 | 65% |
| ROC 모멘텀 n=72, threshold=-0.06 |
9.7% | -73.7% | 0.47 | 0.13 | 82.6x | 341 | 80% |
| MACD fast=45, slow=62, signal=29 |
3.9% | -65.3% | 0.28 | 0.06 | 6.3x | 307 | 51% |
| Parabolic SAR step=0.005, maxStep=0.3 |
2.3% | -63.4% | 0.21 | 0.04 | 2.9x | 399 | 59% |
| ADX / DI 방향성 period=22, threshold=13 |
1.3% | -73.9% | 0.17 | 0.02 | 1.9x | 601 | 51% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=24, mult=2.8 |
1.5% | -76.6% | 0.17 | 0.02 | 2.0x | 224 | 41% |
| 볼린저 밴드 돌파 n=42, k=3.4 |
1.0% | -31.9% | 0.15 | 0.03 | 1.6x | 52 | 8% |
| Buy and hold | 17.9% | -65.3% | 0.65 | 0.27 | 2548.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 28-day EMA crosses above the 362-day EMA
- Sell — Sell when the 28-day EMA falls below the 362-day EMA