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; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 34.1%, MDD -47.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -17.8%, drawdown -97.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 40.0%, MDD -83.4%, Sharpe 0.81, 45% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 57.8%p higher than buy and hold, while drawdown improves by 14.5%p (CAGR 34.1%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=13, threshold=16 |
40.0% | -83.4% | 0.81 | 0.48 | 7.1x | 84 | 45% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=26, mult=1.6 |
39.1% | -55.0% | 0.81 | 0.71 | 6.9x | 32 | 31% |
| 볼린저 밴드 돌파 n=30, k=2.1 |
34.1% | -47.0% | 0.77 | 0.72 | 5.5x | 28 | 28% |
| MACD fast=11, slow=47, signal=18 |
35.2% | -72.5% | 0.77 | 0.49 | 5.8x | 63 | 48% |
| ROC 모멘텀 n=84, threshold=0.1 |
33.8% | -65.9% | 0.76 | 0.51 | 5.4x | 36 | 38% |
| Supertrend period=21, mult=3.6 |
30.2% | -65.4% | 0.71 | 0.46 | 4.7x | 26 | 37% |
| SMA 크로스오버 fast=24, slow=173 |
27.3% | -70.3% | 0.70 | 0.39 | 4.1x | 8 | 38% |
| EMA 크로스오버 fast=44, slow=60 |
27.5% | -62.1% | 0.69 | 0.44 | 4.1x | 12 | 41% |
| Donchian 채널 돌파 entryN=89, exitN=51 |
26.0% | -69.9% | 0.68 | 0.37 | 3.9x | 6 | 36% |
| Parabolic SAR step=0.005, maxStep=0.24 |
20.5% | -81.5% | 0.63 | 0.25 | 3.0x | 48 | 46% |
| Buy and hold | -17.8% | -97.9% | 0.40 | -0.18 | 0.3x | 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, 13-day) is ≥ 16
- Sell — Sell when direction flips or the trend weakens (ADX < 16)