Trend-Following Backtester · Guide · backtest 한국어
equity · US
Enphase Energy, Inc. backtest
10 trend-following strategies were compared on the full daily history of Enphase Energy, Inc.. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 16.7%, MDD -51.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR 12.0%, drawdown -96.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 42.4%, MDD -59.4%, Sharpe 0.90, 53% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 30.4%p higher than buy and hold, while drawdown improves by 36.6%p (CAGR 16.7%, MDD -51.0%, exposure 17%).
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=57, slow=239 |
42.4% | -59.4% | 0.90 | 0.71 | 158.8x | 15 | 53% |
| EMA 크로스오버 fast=54, slow=335 |
37.9% | -63.5% | 0.86 | 0.60 | 99.8x | 4 | 50% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=10, mult=1.4 |
30.3% | -67.0% | 0.78 | 0.45 | 44.2x | 74 | 38% |
| ROC 모멘텀 n=131, threshold=0.11 |
30.9% | -62.5% | 0.77 | 0.49 | 47.3x | 88 | 43% |
| Donchian 채널 돌파 entryN=107, exitN=10 |
16.7% | -51.0% | 0.63 | 0.33 | 9.1x | 38 | 17% |
| ADX / DI 방향성 period=13, threshold=19 |
20.5% | -82.1% | 0.61 | 0.25 | 14.6x | 198 | 40% |
| 볼린저 밴드 돌파 n=29, k=1.1 |
20.2% | -82.9% | 0.61 | 0.24 | 14.0x | 148 | 39% |
| Supertrend period=29, mult=3.9 |
20.0% | -94.0% | 0.60 | 0.21 | 13.7x | 62 | 45% |
| MACD fast=9, slow=60, signal=11 |
19.8% | -92.5% | 0.60 | 0.21 | 13.3x | 228 | 54% |
| Parabolic SAR step=0.01, maxStep=0.28 |
9.4% | -87.0% | 0.44 | 0.11 | 3.6x | 194 | 48% |
| Buy and hold | 12.0% | -96.0% | 0.54 | 0.13 | 5.1x | 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 57-day average price crosses above the 239-day average
- Sell — Sell (to cash) when the 57-day average falls below the 239-day average