Trend-Following Backtester · Guide · backtest 한국어
equity · US
Eos Energy Enterprises, Inc. backtest
10 trend-following strategies were compared on the full daily history of Eos Energy Enterprises, Inc.. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 34.7%, MDD -47.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -17.4%, drawdown -97.9%).
Sharpe leader (same as main): MACD — CAGR 43.3%, MDD -72.5%, Sharpe 0.84, 48% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 60.6%p higher than buy and hold, while drawdown improves by 25.4%p (CAGR 34.7%, MDD -47.0%, exposure 28%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=11, slow=47, signal=18 |
43.3% | -72.5% | 0.84 | 0.60 | 7.9x | 62 | 48% |
| ADX / DI 방향성 period=13, threshold=16 |
42.2% | -83.4% | 0.83 | 0.51 | 7.6x | 82 | 45% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=26, mult=1.6 |
39.8% | -55.0% | 0.82 | 0.72 | 6.9x | 32 | 32% |
| 볼린저 밴드 돌파 n=30, k=2.1 |
34.7% | -47.0% | 0.78 | 0.74 | 5.5x | 28 | 28% |
| ROC 모멘텀 n=84, threshold=0.1 |
34.3% | -65.9% | 0.77 | 0.52 | 5.4x | 36 | 39% |
| Supertrend period=21, mult=3.6 |
30.7% | -65.4% | 0.72 | 0.47 | 4.7x | 26 | 37% |
| SMA 크로스오버 fast=24, slow=173 |
27.8% | -70.3% | 0.70 | 0.39 | 4.1x | 8 | 39% |
| EMA 크로스오버 fast=44, slow=60 |
28.0% | -62.1% | 0.70 | 0.45 | 4.1x | 12 | 42% |
| Parabolic SAR step=0.005, maxStep=0.24 |
26.7% | -81.5% | 0.69 | 0.33 | 3.9x | 46 | 46% |
| Donchian 채널 돌파 entryN=89, exitN=51 |
26.5% | -69.9% | 0.68 | 0.38 | 3.9x | 6 | 36% |
| Buy and hold | -17.4% | -97.9% | 0.41 | -0.18 | 0.3x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (11/47) crosses above its 18-day signal line
- Sell — Sell when the MACD line crosses back below the signal line