Trend-Following Backtester · Guide · backtest 한국어
equity · US
CONMED Corporation backtest
10 trend-following strategies were compared on the full daily history of CONMED Corporation. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 10.9%, MDD -57.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR 8.2%, drawdown -79.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.1%, MDD -67.2%, Sharpe 0.51, 56% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 12.3%p (CAGR 10.9%, MDD -57.3%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=24, slow=69 |
12.1% | -67.2% | 0.51 | 0.18 | 86.6x | 149 | 56% |
| Donchian 채널 돌파 entryN=81, exitN=49 |
10.8% | -57.8% | 0.49 | 0.19 | 55.6x | 71 | 50% |
| EMA 크로스오버 fast=15, slow=127 |
10.9% | -57.3% | 0.48 | 0.19 | 57.4x | 105 | 58% |
| ADX / DI 방향성 period=55, threshold=7 |
9.0% | -66.5% | 0.42 | 0.14 | 29.0x | 293 | 56% |
| Keltner 채널 돌파 emaPeriod=86, atrPeriod=24, mult=3.3 |
7.0% | -54.7% | 0.42 | 0.13 | 14.1x | 89 | 34% |
| Supertrend period=9, mult=4.7 |
8.5% | -65.8% | 0.41 | 0.13 | 23.9x | 97 | 58% |
| 볼린저 밴드 돌파 n=40, k=2.9 |
5.2% | -44.0% | 0.37 | 0.12 | 7.2x | 77 | 16% |
| ROC 모멘텀 n=132, threshold=0.07 |
5.2% | -78.9% | 0.32 | 0.07 | 7.4x | 277 | 48% |
| Parabolic SAR step=0.015, maxStep=0.3 |
-1.7% | -95.1% | 0.13 | -0.02 | 0.5x | 674 | 54% |
| MACD fast=16, slow=59, signal=12 |
-3.3% | -85.1% | 0.08 | -0.04 | 0.3x | 500 | 52% |
| Buy and hold | 8.2% | -79.6% | 0.41 | 0.10 | 21.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 24-day average price crosses above the 69-day average
- Sell — Sell (to cash) when the 24-day average falls below the 69-day average