Trend-Following Backtester · Guide · backtest 한국어
equity · US
Envista Holdings Corporation backtest
10 trend-following strategies were compared on the full daily history of Envista Holdings Corporation. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.2%, MDD -3.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR -0.5%, drawdown -71.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.2%, MDD -3.5%, Sharpe 0.59, 2% exposure.
CAGR reference leader: Supertrend — CAGR 10.7%, MDD -33.8%, exposure 53%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 67.5%p (CAGR 2.2%, MDD -3.5%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=28, threshold=31 |
2.2% | -3.5% | 0.59 | 0.63 | 1.2x | 4 | 2% |
| ROC 모멘텀 n=73, threshold=0.13 |
9.6% | -28.4% | 0.57 | 0.34 | 1.9x | 57 | 27% |
| Supertrend period=11, mult=5 |
10.7% | -33.8% | 0.52 | 0.32 | 2.0x | 13 | 53% |
| SMA 크로스오버 fast=47, slow=153 |
9.7% | -36.4% | 0.50 | 0.26 | 1.9x | 11 | 47% |
| Donchian 채널 돌파 entryN=34, exitN=25 |
8.6% | -35.1% | 0.45 | 0.24 | 1.8x | 19 | 47% |
| EMA 크로스오버 fast=77, slow=213 |
7.2% | -40.5% | 0.43 | 0.18 | 1.6x | 5 | 41% |
| 볼린저 밴드 돌파 n=74, k=1.6 |
6.8% | -26.2% | 0.42 | 0.26 | 1.6x | 17 | 34% |
| Parabolic SAR step=0.01, maxStep=0.36 |
0.5% | -52.2% | 0.16 | 0.01 | 1.0x | 91 | 53% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=8, mult=3.5 |
0.0% | -34.8% | 0.07 | 0.00 | 1.0x | 10 | 12% |
| MACD fast=21, slow=41, signal=16 |
-6.4% | -70.6% | -0.12 | -0.09 | 0.6x | 86 | 48% |
| Buy and hold | -0.5% | -71.0% | 0.19 | -0.01 | 1.0x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 28-day) is ≥ 31
- Sell — Sell when direction flips or the trend weakens (ADX < 31)