Trend-Following Backtester · Guide · backtest 한국어
equity · US
Enova International, Inc. backtest
10 trend-following strategies were compared on the full daily history of Enova International, Inc.. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 22.8%, MDD -45.1%).
Results by strategy
5 of 10 beat buy and hold (CAGR 19.7%, drawdown -81.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 25.2%, MDD -49.7%, Sharpe 0.84, 61% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 29.5%, MDD -60.2%, exposure 85%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 5.5%p higher than buy and hold, while drawdown improves by 31.9%p (CAGR 22.8%, MDD -45.1%, exposure 58%).
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=76, slow=167 |
25.2% | -49.7% | 0.84 | 0.51 | 14.2x | 17 | 61% |
| Donchian 채널 돌파 entryN=13, exitN=91 |
29.5% | -60.2% | 0.81 | 0.49 | 21.2x | 23 | 85% |
| 볼린저 밴드 돌파 n=107, k=0.5 |
22.7% | -50.1% | 0.79 | 0.45 | 11.2x | 49 | 57% |
| ROC 모멘텀 n=96, threshold=0.04 |
22.8% | -45.1% | 0.79 | 0.51 | 11.3x | 99 | 58% |
| EMA 크로스오버 fast=46, slow=89 |
22.5% | -63.5% | 0.77 | 0.35 | 11.0x | 21 | 64% |
| ADX / DI 방향성 period=42, threshold=12 |
16.6% | -44.0% | 0.67 | 0.38 | 6.1x | 69 | 45% |
| Supertrend period=36, mult=4.7 |
17.4% | -62.7% | 0.62 | 0.28 | 6.6x | 41 | 61% |
| MACD fast=8, slow=22, signal=22 |
14.8% | -69.3% | 0.56 | 0.21 | 5.1x | 184 | 48% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=21, mult=1.4 |
11.5% | -60.5% | 0.50 | 0.19 | 3.6x | 81 | 49% |
| Parabolic SAR step=0.02, maxStep=0.38 |
8.1% | -49.4% | 0.40 | 0.16 | 2.5x | 258 | 52% |
| Buy and hold | 19.7% | -81.7% | 0.61 | 0.24 | 8.4x | 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 76-day average price crosses above the 167-day average
- Sell — Sell (to cash) when the 76-day average falls below the 167-day average