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 88.5%, MDD -43.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR 30.0%, drawdown -92.5%).
Sharpe leader (same as main): Supertrend — CAGR 88.5%, MDD -43.2%, Sharpe 1.23, 52% exposure.
Return/drawdown alternative: Supertrend — CAGR is 58.6%p higher than buy and hold, while drawdown improves by 49.3%p (CAGR 88.5%, MDD -43.2%, exposure 52%).
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 |
88.5% | -43.2% | 1.23 | 2.05 | 161.3x | 42 | 52% |
| Parabolic SAR step=0.05, maxStep=0.1 |
73.1% | -52.3% | 1.13 | 1.40 | 81.4x | 189 | 49% |
| ADX / DI 방향성 period=19, threshold=14 |
66.1% | -57.9% | 1.06 | 1.14 | 58.3x | 90 | 49% |
| Donchian 채널 돌파 entryN=11, exitN=22 |
67.5% | -56.3% | 1.04 | 1.20 | 62.6x | 44 | 63% |
| MACD fast=19, slow=56, signal=18 |
62.1% | -55.3% | 1.04 | 1.12 | 48.1x | 70 | 51% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=16, mult=0.6 |
53.8% | -50.4% | 0.97 | 1.07 | 31.5x | 104 | 43% |
| 볼린저 밴드 돌파 n=22, k=1.8 |
44.1% | -55.3% | 0.88 | 0.80 | 18.7x | 74 | 35% |
| ROC 모멘텀 n=24, threshold=-0.02 |
47.0% | -60.5% | 0.88 | 0.78 | 21.9x | 156 | 53% |
| SMA 크로스오버 fast=76, slow=237 |
44.5% | -85.4% | 0.87 | 0.52 | 19.2x | 11 | 48% |
| EMA 크로스오버 fast=5, slow=41 |
45.0% | -69.2% | 0.86 | 0.65 | 19.7x | 78 | 50% |
| Buy and hold | 30.0% | -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)