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 -1.2%, drawdown -84.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.3%, MDD -43.3%, Sharpe 0.40, 48% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.5%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 |
7.3% | -43.3% | 0.40 | 0.17 | 3.6x | 35 | 48% |
| Supertrend period=28, mult=5 |
4.7% | -46.8% | 0.31 | 0.10 | 2.3x | 49 | 55% |
| SMA 크로스오버 fast=19, slow=58 |
4.2% | -59.1% | 0.29 | 0.07 | 2.1x | 75 | 54% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=23, mult=2.6 |
3.0% | -68.4% | 0.25 | 0.04 | 1.7x | 63 | 37% |
| EMA 크로스오버 fast=15, slow=94 |
2.9% | -67.9% | 0.24 | 0.04 | 1.7x | 59 | 53% |
| ROC 모멘텀 n=118, threshold=0.16 |
2.4% | -52.0% | 0.22 | 0.05 | 1.5x | 139 | 31% |
| ADX / DI 방향성 period=39, threshold=28 |
0.1% | -0.5% | 0.19 | 0.22 | 1.0x | 2 | 0% |
| Parabolic SAR step=0.005, maxStep=0.12 |
0.6% | -77.8% | 0.17 | 0.01 | 1.1x | 161 | 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 |
-3.4% | -76.4% | 0.04 | -0.04 | 0.5x | 209 | 50% |
| Buy and hold | -1.2% | -84.5% | 0.21 | -0.01 | 0.8x | 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