Trend-Following Backtester · Guide · backtest 한국어
equity · US
Enovix Corporation backtest
10 trend-following strategies were compared on the full daily history of Enovix Corporation. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 16.3%, MDD -36.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -18.3%, drawdown -89.7%).
Sharpe leader (same as main): Supertrend — CAGR 62.1%, MDD -47.2%, Sharpe 1.15, 32% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 80.4%p higher than buy and hold, while drawdown improves by 42.6%p (CAGR 16.3%, MDD -36.4%, exposure 10%).
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=28, mult=2.5 |
62.1% | -47.2% | 1.15 | 1.32 | 14.7x | 36 | 32% |
| MACD fast=13, slow=57, signal=18 |
50.8% | -57.6% | 0.94 | 0.88 | 9.8x | 44 | 48% |
| SMA 크로스오버 fast=14, slow=26 |
45.8% | -49.5% | 0.89 | 0.92 | 8.2x | 50 | 44% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=26, mult=1.4 |
27.0% | -40.5% | 0.73 | 0.67 | 3.8x | 46 | 27% |
| 볼린저 밴드 돌파 n=31, k=1.8 |
27.5% | -38.5% | 0.71 | 0.71 | 3.9x | 32 | 35% |
| ROC 모멘텀 n=18, threshold=0.08 |
27.8% | -55.9% | 0.71 | 0.50 | 3.9x | 124 | 37% |
| ADX / DI 방향성 period=8, threshold=31 |
25.3% | -47.1% | 0.67 | 0.54 | 3.5x | 74 | 29% |
| EMA 크로스오버 fast=11, slow=17 |
22.3% | -52.3% | 0.62 | 0.43 | 3.1x | 42 | 43% |
| Donchian 채널 돌파 entryN=68, exitN=3 |
16.3% | -36.4% | 0.62 | 0.45 | 2.3x | 22 | 10% |
| Parabolic SAR step=0.01, maxStep=0.18 |
19.0% | -77.6% | 0.59 | 0.24 | 2.6x | 66 | 41% |
| Buy and hold | -18.3% | -89.7% | 0.25 | -0.20 | 0.3x | 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) — 28-day volatility, 2.5× band
- Sell — Sell when price drops below the trend line (flips down)