Trend-Following Backtester · Guide · backtest 한국어
equity · US
Enviri Corporation backtest
10 trend-following strategies were compared on the full daily history of Enviri Corporation. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.6%, MDD -67.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 4.6%, drawdown -94.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.6%, MDD -67.3%, Sharpe 0.38, 62% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 27.1%p (CAGR 6.6%, MDD -67.3%, exposure 62%).
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=45, exitN=56 |
6.6% | -67.3% | 0.38 | 0.10 | 19.5x | 109 | 62% |
| SMA 크로스오버 fast=54, slow=115 |
5.5% | -72.6% | 0.34 | 0.08 | 12.2x | 99 | 59% |
| EMA 크로스오버 fast=37, slow=41 |
4.5% | -69.1% | 0.30 | 0.07 | 7.7x | 155 | 60% |
| Supertrend period=18, mult=5 |
4.0% | -75.2% | 0.28 | 0.05 | 6.2x | 151 | 59% |
| MACD fast=23, slow=51, signal=15 |
2.3% | -84.3% | 0.22 | 0.03 | 2.9x | 498 | 50% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=28, mult=1.7 |
2.3% | -64.3% | 0.21 | 0.04 | 2.9x | 333 | 41% |
| 볼린저 밴드 돌파 n=40, k=1.4 |
1.6% | -59.8% | 0.18 | 0.03 | 2.1x | 345 | 42% |
| ADX / DI 방향성 period=20, threshold=12 |
1.4% | -89.3% | 0.18 | 0.02 | 1.9x | 656 | 54% |
| ROC 모멘텀 n=122, threshold=0.07 |
1.1% | -70.5% | 0.16 | 0.02 | 1.7x | 461 | 46% |
| Parabolic SAR step=0.02, maxStep=0.08 |
-0.4% | -86.8% | 0.12 | -0.00 | 0.8x | 796 | 54% |
| Buy and hold | 4.6% | -94.4% | 0.32 | 0.05 | 8.1x | 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 45 days
- Sell — Sell when price breaks below the lowest low of the last 56 days