Trend-Following Backtester · Guide · backtest 한국어
equity · US
Enovis Corporation backtest
10 trend-following strategies were compared on the full daily history of Enovis Corporation. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.1%, MDD -0.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR -2.1%, drawdown -84.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.2%, MDD -43.3%, Sharpe 0.36, 48% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.3%p higher than buy and hold, while drawdown improves by 41.2%p (CAGR 0.1%, MDD -0.5%, exposure 0%).
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=55, exitN=42 |
6.2% | -43.3% | 0.36 | 0.14 | 3.0x | 35 | 48% |
| Supertrend period=28, mult=5 |
3.7% | -49.5% | 0.27 | 0.07 | 1.9x | 49 | 55% |
| SMA 크로스오버 fast=19, slow=58 |
3.2% | -59.1% | 0.25 | 0.05 | 1.8x | 75 | 54% |
| EMA 크로스오버 fast=15, slow=94 |
1.9% | -68.6% | 0.20 | 0.03 | 1.4x | 59 | 53% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=23, mult=2.6 |
1.9% | -70.8% | 0.19 | 0.03 | 1.4x | 64 | 37% |
| ADX / DI 방향성 period=39, threshold=28 |
0.1% | -0.5% | 0.19 | 0.22 | 1.0x | 2 | 0% |
| ROC 모멘텀 n=118, threshold=0.16 |
1.0% | -58.2% | 0.15 | 0.02 | 1.2x | 142 | 31% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-0.4% | -77.8% | 0.14 | -0.01 | 0.9x | 162 | 52% |
| 볼린저 밴드 돌파 n=38, k=3.5 |
0.4% | -14.2% | 0.12 | 0.03 | 1.1x | 4 | 2% |
| MACD fast=15, slow=46, signal=19 |
-4.3% | -76.4% | 0.01 | -0.06 | 0.5x | 210 | 50% |
| Buy and hold | -2.1% | -84.5% | 0.19 | -0.02 | 0.7x | 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 55 days
- Sell — Sell when price breaks below the lowest low of the last 42 days