Trend-Following Backtester · Guide · backtest 한국어
equity · US
Bloom Energy Corporation backtest
10 trend-following strategies were compared on the full daily history of Bloom Energy Corporation. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 87.3%, MDD -43.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR 29.7%, drawdown -92.5%).
Sharpe leader (same as main): Supertrend — CAGR 87.3%, MDD -43.2%, Sharpe 1.22, 51% exposure.
Return/drawdown alternative: Supertrend — CAGR is 57.6%p higher than buy and hold, while drawdown improves by 49.3%p (CAGR 87.3%, MDD -43.2%, exposure 51%).
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=6, mult=3 |
87.3% | -43.2% | 1.22 | 2.02 | 161.3x | 42 | 51% |
| Parabolic SAR step=0.05, maxStep=0.1 |
71.1% | -52.3% | 1.12 | 1.36 | 77.4x | 191 | 49% |
| Donchian 채널 돌파 entryN=11, exitN=22 |
66.6% | -56.3% | 1.04 | 1.18 | 62.6x | 44 | 62% |
| ADX / DI 방향성 period=19, threshold=14 |
62.4% | -57.9% | 1.03 | 1.08 | 50.9x | 92 | 49% |
| MACD fast=19, slow=56, signal=18 |
57.8% | -55.3% | 1.00 | 1.05 | 40.3x | 73 | 50% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=16, mult=0.6 |
53.1% | -50.4% | 0.97 | 1.05 | 31.5x | 104 | 43% |
| 볼린저 밴드 돌파 n=22, k=1.8 |
43.6% | -55.3% | 0.88 | 0.79 | 18.7x | 74 | 34% |
| SMA 크로스오버 fast=76, slow=237 |
44.0% | -85.4% | 0.86 | 0.52 | 19.2x | 11 | 48% |
| ROC 모멘텀 n=24, threshold=-0.02 |
44.9% | -60.5% | 0.86 | 0.74 | 20.1x | 163 | 52% |
| EMA 크로스오버 fast=5, slow=41 |
44.5% | -69.2% | 0.86 | 0.64 | 19.7x | 78 | 49% |
| Buy and hold | 29.7% | -92.5% | 0.74 | 0.32 | 8.2x | 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) — 6-day volatility, 3× band
- Sell — Sell when price drops below the trend line (flips down)