Trend-Following Backtester · Guide · backtest 한국어
equity · US
Energy Vault Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Energy Vault Holdings, Inc.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 22.9%, MDD -40.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -17.6%, drawdown -97.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 34.6%, MDD -54.5%, Sharpe 0.79, 29% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 52.2%p higher than buy and hold, while drawdown improves by 42.6%p (CAGR 22.9%, MDD -40.5%, exposure 22%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=55, exitN=18 |
34.6% | -54.5% | 0.79 | 0.64 | 5.0x | 12 | 29% |
| ADX / DI 방향성 period=25, threshold=31 |
22.9% | -40.5% | 0.72 | 0.56 | 3.1x | 8 | 22% |
| Parabolic SAR step=0.05, maxStep=0.14 |
30.8% | -69.1% | 0.72 | 0.45 | 4.3x | 148 | 44% |
| MACD fast=12, slow=42, signal=18 |
21.1% | -82.2% | 0.63 | 0.26 | 2.8x | 57 | 50% |
| 볼린저 밴드 돌파 n=45, k=2.9 |
19.3% | -53.0% | 0.60 | 0.36 | 2.6x | 16 | 25% |
| EMA 크로스오버 fast=9, slow=50 |
8.6% | -82.5% | 0.47 | 0.10 | 1.6x | 33 | 41% |
| SMA 크로스오버 fast=14, slow=199 |
7.4% | -70.8% | 0.44 | 0.10 | 1.5x | 8 | 35% |
| ROC 모멘텀 n=81, threshold=0.09 |
4.1% | -71.3% | 0.38 | 0.06 | 1.2x | 28 | 29% |
| Supertrend period=11, mult=1.5 |
1.4% | -81.3% | 0.37 | 0.02 | 1.1x | 85 | 44% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=26, mult=3.3 |
4.2% | -62.9% | 0.32 | 0.07 | 1.3x | 16 | 19% |
| Buy and hold | -17.6% | -97.1% | 0.33 | -0.18 | 0.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 55 days
- Sell — Sell when price breaks below the lowest low of the last 18 days