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Trend-Following Backtester · Guide · backtest 한국어

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Eaton Vance Enhance Equity Income Fund II backtest

10 trend-following strategies were compared on the full daily history of Eaton Vance Enhance Equity Income Fund II. 3 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 1.0%, MDD -7.6%).

Data 2005-01-27 ~ 2026-08-31daily bars 5,432 (21.6 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-08-31

Results by strategy

3 of 10 beat buy and hold (CAGR 0.3%, drawdown -63.6%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 1.0%, MDD -7.6%, Sharpe 0.31, 1% exposure.

Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 56.1%p (CAGR 1.0%, MDD -7.6%, exposure 1%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
n=16, threshold=0.13
1.0%-7.6%0.310.131.2x281%
SMA 크로스오버
fast=9, slow=250
0.6%-34.1%0.110.021.1x5456%
EMA 크로스오버
fast=14, slow=144
0.4%-36.8%0.090.011.1x5858%
볼린저 밴드 돌파
n=56, k=3.5
0.1%-4.6%0.050.011.0x21%
Donchian 채널 돌파
entryN=99, exitN=68
-0.6%-41.2%-0.01-0.010.9x3443%
Supertrend
period=23, mult=3.3
-1.3%-57.9%-0.01-0.020.8x14567%
ADX / DI 방향성
period=24, threshold=36
-0.0%-3.1%-0.04-0.011.0x20%
Keltner 채널 돌파
emaPeriod=20, atrPeriod=9, mult=4
-0.2%-3.9%-0.25-0.041.0x20%
MACD
fast=18, slow=52, signal=12
-4.9%-77.4%-0.35-0.060.3x30052%
Parabolic SAR
step=0.01, maxStep=0.24
-6.4%-79.5%-0.41-0.080.2x29560%
Buy and hold0.3%-63.6%0.130.011.1x1100%
1x 2006 2009 2012 2015 2018 2021 2024 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -16% -32% -48% -64% 2006 2009 2012 2015 2018 2021 2024 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -7.6% (2008-11-04 → 2009-03-30), recovered after 149 days.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupMore US assetsAll asset reports

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