Trend-Following Backtester · Guide · backtest 한국어
equity · US
EyePoint, Inc. backtest
10 trend-following strategies were compared on the full daily history of EyePoint, Inc.. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.1%, MDD -61.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -15.0%, drawdown -99.4%).
Sharpe leader (same as main): Supertrend — CAGR 6.3%, MDD -90.0%, Sharpe 0.36, 41% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 21.3%p higher than buy and hold, while drawdown improves by 9.4%p (CAGR 1.1%, MDD -61.7%, exposure 15%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=16, mult=2.8 |
6.3% | -90.0% | 0.36 | 0.07 | 3.7x | 130 | 41% |
| MACD fast=15, slow=44, signal=12 |
3.7% | -96.6% | 0.35 | 0.04 | 2.2x | 270 | 53% |
| ROC 모멘텀 n=34, threshold=0.13 |
4.7% | -85.4% | 0.32 | 0.05 | 2.7x | 260 | 25% |
| Donchian 채널 돌파 entryN=58, exitN=18 |
4.8% | -82.6% | 0.32 | 0.06 | 2.8x | 52 | 25% |
| 볼린저 밴드 돌파 n=67, k=1.9 |
4.0% | -81.5% | 0.31 | 0.05 | 2.3x | 72 | 27% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=20, mult=1.5 |
2.9% | -92.5% | 0.28 | 0.03 | 1.9x | 148 | 25% |
| SMA 크로스오버 fast=28, slow=46 |
-1.0% | -90.0% | 0.24 | -0.01 | 0.8x | 117 | 43% |
| ADX / DI 방향성 period=11, threshold=36 |
1.1% | -61.7% | 0.19 | 0.02 | 1.3x | 104 | 15% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-5.1% | -85.2% | 0.19 | -0.06 | 0.3x | 336 | 44% |
| EMA 크로스오버 fast=27, slow=41 |
-5.7% | -91.4% | 0.15 | -0.06 | 0.3x | 100 | 40% |
| Buy and hold | -15.0% | -99.4% | 0.23 | -0.15 | 0.0x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 16-day volatility, 2.8× band
- Sell — Sell when price drops below the trend line (flips down)